V-Lab
Gree Electric Appliances Inc of Zhuhai EGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
22.80%
decreased by 0.72%
1 Week
23.35%
decreased by 0.17%
1 Month
25.45%
increased by 1.93%
Analysis last updated: Friday, September 11, 2026 at 06:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 1996 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 67% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 67% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0380 | 3.82*** |
| αARCH | 0.1364 | 7.44*** |
| βGARCH | 0.9806 | 196.59*** |
| γleverage | 0.0342 | 1.98** |
0.981
Persistence35d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0380 | 3.82*** |
α ARCH Response to squared shocks | 0.1364 | 7.44*** |
β GARCH Volatility persistence | 0.9806 | 196.59*** |
γ leverage Additional response to negative shocks | 0.0342 | 1.98** |
Persistence:
0.981
Half-life:
35 days
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