Urbana Corp GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, July 15th, 2026
1 Day
41.18%
1 Week
43.03%
1 Month
49.74%
Analysis last updated: Wednesday, July 15, 2026 at 09:10 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 24, 1990 to Jul 10, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 162% more than positive returns
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3085 | 19.00*** |
α ARCH Response to squared shocks | 0.0910 | 16.05*** |
β GARCH Volatility persistence | 0.8354 | 206.07*** |
γ leverage Additional response to negative shocks | 0.1472 | 7.48*** |
Persistence:
1.000
Half-life:
-
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