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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 14, 2026Model 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
| Parameter | Value | t-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
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