V-Lab
Next PLC GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
22.09%
decreased by 0.18%
1 Week
22.25%
decreased by 0.02%
1 Month
22.86%
increased by 0.59%
Analysis last updated: Tuesday, August 25, 2026 at 08:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 127 trading days (~0.5 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
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0247 | 9.26*** |
α ARCH Response to squared shocks | 0.0013 | 1.65* |
β GARCH Volatility persistence | 0.9713 | 1,061.51*** |
γ leverage Additional response to negative shocks | 0.0440 | 19.00*** |
Persistence:
0.995
Half-life:
127 days
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