V-Lab
Koninklijke Vopak NV GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
19.62%
decreased by 0.40%
1 Week
21.39%
increased by 1.37%
1 Month
24.74%
increased by 4.72%
Analysis last updated: Sunday, August 23, 2026 at 01:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 4, 1999 to Aug 21, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 57% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3213 | 18.43*** |
α ARCH Response to squared shocks | 0.1086 | 12.38*** |
β GARCH Volatility persistence | 0.7552 | 84.44*** |
γ leverage Additional response to negative shocks | 0.0620 | 3.70*** |
Persistence:
0.895
Half-life:
6 days
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