Sable Offshore 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, July 13th, 2026
1 Day
286.14%
decreased by 10.35%
1 Week
286.14%
decreased by 10.35%
1 Month
286.15%
decreased by 10.34%
Analysis last updated: Friday, July 10, 2026 at 11:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 25, 2021 to Jul 10, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0007 | 5.14*** |
α ARCH Response to squared shocks | 0.0710 | 4.41*** |
β GARCH Volatility persistence | 0.9246 | 167.99*** |
γ leverage Additional response to negative shocks | 0.0087 | 0.25 |
Persistence:
1.000
Half-life:
693147 days
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