V-Lab
Nodestream Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
129.55%
decreased by 8.91%
1 Week
127.39%
decreased by 11.07%
1 Month
122.35%
decreased by 16.11%
Analysis last updated: Tuesday, August 25, 2026 at 05:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2016 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 11.64*** |
α ARCH Response to squared shocks | 0.0813 | 7.58*** |
β GARCH Volatility persistence | 0.8098 | 76.86*** |
γ leverage Additional response to negative shocks | 0.0313 | 1.79* |
Persistence:
0.907
Half-life:
7 days
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