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V-Lab

Procter & Gamble Co/The GJR-GARCH Volatility Analysis

Volatility prediction for Wednesday, August 26th, 2026

1 Day

17.39%

decreased by 0.02%

1 Week

17.52%

increased by 0.11%

1 Month

18.00%

increased by 0.59%

Analysis last updated: Tuesday, August 25, 2026 at 09:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Procter & Gamble Co/The GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 21, 2026

Model 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0234
14.96***
α

ARCH

Response to squared shocks

0.0310
16.82***
β

GARCH

Volatility persistence

0.9271
495.23***
γ

leverage

Additional response to negative shocks

0.0603
13.21***

Persistence:

0.988

Half-life:

58 days