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Reliance Industries Ltd GJR-GARCH Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

22.85%

increased by 0.65%

1 Week

23.67%

increased by 1.47%

1 Month

26.49%

increased by 4.29%

Analysis last updated: Saturday, September 19, 2026 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Reliance Industries Ltd GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Sep 18, 2026

Model Insight

Volatility shocks decay with a half-life of 66 trading days, meaning a shock loses half its impact after approximately 66 days.

σ

GJR-GARCH Model

Tap to view equation

Shock decay: Shocks decay with a 66-day half-life
ParamValuet-stat
ωconst0.0979
4.24***
αARCH0.0907
3.50***
βGARCH0.8819
61.35***
γleverage0.0338
0.87

0.989

Persistence

66d

Half-life
σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0979
4.24***
α

ARCH

Response to squared shocks

0.0907
3.50***
β

GARCH

Volatility persistence

0.8819
61.35***
γ

leverage

Additional response to negative shocks

0.0338
0.87

Persistence:

0.989

Half-life:

66 days