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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Thalia Therapeutics PLC GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 4, 2007 to Jul 10, 2026

Model 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

ParameterValuet-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