AT&T Inc GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
29.47%
decreased by 0.79%
1 Week
29.40%
decreased by 0.86%
1 Month
29.12%
decreased by 1.14%
Analysis last updated: Monday, July 20, 2026 at 09:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 59% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0259 | 20.29*** |
α ARCH Response to squared shocks | 0.0413 | 19.84*** |
β GARCH Volatility persistence | 0.9365 | 563.49*** |
γ leverage Additional response to negative shocks | 0.0243 | 6.07*** |
Persistence:
0.990
Half-life:
69 days
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