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V-Lab

SDI Ltd GJR-GARCH Volatility Analysis

Inactive

Last recorded values (Friday, June 26th, 2026):

1 Day

26.86%

1 Week

28.35%

1 Month

33.28%

Analysis last updated: Friday, June 26, 2026 at 06:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of SDI Ltd GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Aug 8, 2001 to Jun 19, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 242% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.2007
12.97***
α

ARCH

Response to squared shocks

0.0313
13.33***
β

GARCH

Volatility persistence

0.9185
406.61***
γ

leverage

Additional response to negative shocks

0.0756
7.99***

Persistence:

0.988

Half-life:

56 days