V-Lab
Renatus Tactical Acqu Corp I GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, August 6th, 2026
1 Day
6.13%
1 Week
6.21%
1 Month
6.54%
Analysis last updated: Wednesday, August 5, 2026 at 09:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 15, 2025 to Jul 31, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Inverse leverage: volatility responds almost entirely to positive returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0021 | 0.61 |
α ARCH Response to squared shocks | 0.1552 | 3.13*** |
β GARCH Volatility persistence | 0.9203 | 138.93*** |
γ leverage Additional response to negative shocks | -0.1509 | -2.69*** |
Persistence:
1.000
Half-life:
-
Other Renatus Tactical Acqu Corp I Analyses
Other GJR-GARCH Analyses on Equities