V-Lab
TransMedics Group, Inc. GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
57.12%
decreased by 1.30%
1 Week
63.80%
increased by 5.38%
1 Month
70.80%
increased by 12.38%
Analysis last updated: Friday, September 18, 2026 at 10:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 2, 2019 to Sep 18, 2026Boundary Parameters
Model Insight
Volatility shocks decay with a half-life of 3 trading days, meaning a shock loses half its impact after approximately 3 days.
σ
GJR-GARCH Model
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Shock decay: Shocks decay with a 3-day half-life
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 2.63*** |
| αARCH | 0.1010 | 1.72* |
| βGARCH | 0.5852 | 4.70*** |
| γleverage | 0.1667 | 1.00 |
0.770
Persistence3d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.63*** |
α ARCH Response to squared shocks | 0.1010 | 1.72* |
β GARCH Volatility persistence | 0.5852 | 4.70*** |
γ leverage Additional response to negative shocks | 0.1667 | 1.00 |
Persistence:
0.770
Half-life:
3 days
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