Polish Zloty GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
7.75%
decreased by 0.04%
1 Week
7.80%
increased by 0.01%
1 Month
7.96%
increased by 0.17%
Analysis last updated: Thursday, October 8, 2026 at 07:16 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 1, 1993 to Oct 2, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 83 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 80% more than negative returns
σ
GJR-GARCH Model
Tap to view equation
High persistence: persistence 0.992, shock half-life ~83 daysInverse leverage: Positive returns increase volatility 80% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0033 | 4.50*** |
| αARCH | 0.0660 | 6.58*** |
| βGARCH | 0.9403 | 157.35*** |
| γleverage | -0.0294 | -2.19** |
0.992
Persistence83d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0033 | 4.50*** |
α ARCH Response to squared shocks | 0.0660 | 6.58*** |
β GARCH Volatility persistence | 0.9403 | 157.35*** |
γ leverage Additional response to negative shocks | -0.0294 | -2.19** |
Persistence:
0.992
Half-life:
83 days
Other Polish Zloty Analyses
Other GJR-GARCH Analyses on Currencies