V-Lab
Spenda Ltd 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 Tuesday, September 15th, 2026
1 Day
333.83%
1 Week
333.88%
1 Month
334.05%
Analysis last updated: Wednesday, September 16, 2026 at 03:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 29, 2002 to Sep 14, 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.
Leverage: volatility responds almost entirely to negative shocks
GJR-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0583 | 0.49 |
| αARCH | 0.0081 | 0.73 |
| βGARCH | 0.9710 | 100.67*** |
| γleverage | 0.0417 | 3.16*** |
1.000
Persistence-
Half-lifeGJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0583 | 0.49 |
α ARCH Response to squared shocks | 0.0081 | 0.73 |
β GARCH Volatility persistence | 0.9710 | 100.67*** |
γ leverage Additional response to negative shocks | 0.0417 | 3.16*** |
Persistence:
1.000
Half-life:
-
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