V-Lab
Procter & Gamble Co/The GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
18.29%
decreased by 0.53%
1 Week
18.40%
decreased by 0.42%
1 Month
18.78%
decreased by 0.04%
Analysis last updated: Friday, August 14, 2026 at 10:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 195% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0234 | 14.93*** |
α ARCH Response to squared shocks | 0.0309 | 16.80*** |
β GARCH Volatility persistence | 0.9272 | 495.84*** |
γ leverage Additional response to negative shocks | 0.0603 | 13.21*** |
Persistence:
0.988
Half-life:
59 days
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