V-Lab
Securitize Corp 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 Monday, September 14th, 2026
1 Day
102.92%
1 Week
103.37%
1 Month
105.17%
Analysis last updated: Saturday, September 12, 2026 at 12:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 2, 2025 to Sep 11, 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.
GJR-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1856 | 1.14 |
| αARCH | 0.3515 | 1.21 |
| βGARCH | 0.7943 | 8.29*** |
| γleverage | -0.2918 | -1.04 |
1.000
Persistence-
Half-lifeGJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1856 | 1.14 |
α ARCH Response to squared shocks | 0.3515 | 1.21 |
β GARCH Volatility persistence | 0.7943 | 8.29*** |
γ leverage Additional response to negative shocks | -0.2918 | -1.04 |
Persistence:
1.000
Half-life:
-
Other Securitize Corp Analyses
Other GJR-GARCH Analyses on Equities