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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 8, 2001 to Jun 19, 2026Model 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
| Parameter | Value | t-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
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