V-Lab
NVIDIA Corp GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
39.95%
decreased by 0.48%
1 Week
40.70%
increased by 0.27%
1 Month
43.48%
increased by 3.05%
Analysis last updated: Tuesday, August 25, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 22, 1999 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 144 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 171% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1511 | 14.39*** |
α ARCH Response to squared shocks | 0.0374 | 12.11*** |
β GARCH Volatility persistence | 0.9259 | 354.19*** |
γ leverage Additional response to negative shocks | 0.0639 | 10.84*** |
Persistence:
0.995
Half-life:
144 days
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