V-Lab
K+S AG GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
29.79%
decreased by 0.23%
1 Week
30.12%
increased by 0.10%
1 Month
31.24%
increased by 1.22%
Analysis last updated: Sunday, July 26, 2026 at 12:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 45% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1084 | 18.25*** |
α ARCH Response to squared shocks | 0.0493 | 16.40*** |
β GARCH Volatility persistence | 0.9202 | 356.95*** |
γ leverage Additional response to negative shocks | 0.0221 | 4.77*** |
Persistence:
0.981
Half-life:
35 days
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