Thalia Therapeutics PLC AGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
82.28%
unchanged at 0.00%
1 Week
97.73%
increased by 15.45%
1 Month
110.22%
increased by 27.94%
Analysis last updated: Sunday, July 19, 2026 at 04:38 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 2007 to Jul 17, 2026Illiquid Asset
Boundary Parameters
Model Insight
Volatility shocks decay with a half-life of 2 trading days, meaning a shock loses half its impact after approximately 2 days.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.0000 | 21.41*** |
α ARCH Response to squared shocks | 0.2731 | 17.58*** |
β GARCH Volatility persistence | 0.4402 | 24.54*** |
γ leverage Additional response to negative shocks | 0.3781 | 1.10 |
Persistence:
0.713
Half-life:
2 days
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