V-Lab
Sonda S.A. GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
20.23%
decreased by 0.54%
1 Week
20.73%
decreased by 0.04%
1 Month
22.27%
increased by 1.50%
Analysis last updated: Tuesday, August 25, 2026 at 06:00 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 9, 2006 to Aug 21, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 202% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0939 | 15.89*** |
α ARCH Response to squared shocks | 0.0397 | 13.39*** |
β GARCH Volatility persistence | 0.8881 | 249.05*** |
γ leverage Additional response to negative shocks | 0.0802 | 7.63*** |
Persistence:
0.968
Half-life:
21 days
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