Thalia Therapeutics PLC GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
80.13%
decreased by 0.64%
1 Week
86.22%
increased by 5.45%
1 Month
97.69%
increased by 16.92%
Analysis last updated: Tuesday, July 14, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 2007 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 9.77*** |
α ARCH Response to squared shocks | 0.1188 | 7.98*** |
β GARCH Volatility persistence | 0.7912 | 51.05*** |
γ leverage Additional response to negative shocks | -0.0367 | -1.73* |
Persistence:
0.892
Half-life:
6 days
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