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V-Lab

Next PLC EGARCH Volatility Analysis

Volatility prediction for Monday, August 17th, 2026

1 Day

23.06%

decreased by 0.01%

1 Week

23.27%

increased by 0.20%

1 Month

24.08%

increased by 1.01%

Analysis last updated: Sunday, August 16, 2026 at 02:41 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Next PLC EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Aug 14, 2026

Model Insight

With persistence 0.994, volatility shocks have a half-life of 111 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: volatility responds almost entirely to negative shocks

σ

EGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0135
3.59***
α

ARCH

Response to squared shocks

0.0504
23.51***
β

GARCH

Volatility persistence

0.9938
967.62***
γ

leverage

Additional response to negative shocks

-0.0470
-19.05***

Persistence:

0.994

Half-life:

111 days