V-Lab
National Stock Exchange CNX Nifty Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
15.41%
increased by 0.27%
1 Week
15.71%
increased by 0.57%
1 Month
16.84%
increased by 1.70%
Analysis last updated: Thursday, October 1, 2026 at 12:04 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 2, 1990 to Oct 1, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 231 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 98% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.997, shock half-life ~231 daysLeverage: Negative returns increase volatility 98% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0215 | 5.32*** |
| αARCH | 0.0735 | 5.10*** |
| βGARCH | 0.8874 | 106.91*** |
| γleverage | 0.0721 | 2.66*** |
0.997
Persistence231d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0215 | 5.32*** |
α ARCH Response to squared shocks | 0.0735 | 5.10*** |
β GARCH Volatility persistence | 0.8874 | 106.91*** |
γ leverage Additional response to negative shocks | 0.0721 | 2.66*** |
Persistence:
0.997
Half-life:
231 days
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