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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Koninklijke Vopak NV GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 4, 1999 to Aug 21, 2026

Model 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

ParameterValuet-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