V-Lab
AT&T Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
32.82%
increased by 3.34%
1 Week
32.70%
increased by 3.22%
1 Month
32.22%
increased by 2.74%
Analysis last updated: Friday, July 24, 2026 at 10:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 70 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 59% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0256 | 20.26*** |
α ARCH Response to squared shocks | 0.0412 | 19.87*** |
β GARCH Volatility persistence | 0.9368 | 566.04*** |
γ leverage Additional response to negative shocks | 0.0242 | 6.06*** |
Persistence:
0.990
Half-life:
70 days
Other GJR-GARCH Analyses on Equities