V-Lab
US Dollar to Czech Koruna GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
5.01%
decreased by 0.06%
1 Week
5.06%
decreased by 0.01%
1 Month
5.25%
increased by 0.18%
Analysis last updated: Sunday, August 16, 2026 at 01:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 19, 1993 to Aug 14, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 170 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0014 | 11.67*** |
α ARCH Response to squared shocks | 0.0364 | 16.89*** |
β GARCH Volatility persistence | 0.9609 | 607.38*** |
γ leverage Additional response to negative shocks | -0.0027 | -0.99 |
Persistence:
0.996
Half-life:
170 days
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