V-Lab
RGC Resources Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
29.07%
decreased by 1.15%
1 Week
29.45%
decreased by 0.77%
1 Month
30.77%
increased by 0.55%
Analysis last updated: Friday, August 21, 2026 at 09:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 1, 1994 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 36 trading days, meaning a shock loses half its impact after approximately 36 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1102 | 15.59*** |
α ARCH Response to squared shocks | 0.0912 | 16.22*** |
β GARCH Volatility persistence | 0.8933 | 267.54*** |
γ leverage Additional response to negative shocks | -0.0077 | -0.78 |
Persistence:
0.981
Half-life:
36 days
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