V-Lab
Gree Electric Appliances Inc of Zhuhai GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
24.59%
decreased by 0.51%
1 Week
24.95%
decreased by 0.15%
1 Month
26.23%
increased by 1.13%
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 112% 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
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 112% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0714 | 3.49*** |
| αARCH | 0.0748 | 5.65*** |
| βGARCH | 0.9303 | 104.68*** |
| γleverage | -0.0395 | -2.28** |
0.985
Persistence47d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0714 | 3.49*** |
α ARCH Response to squared shocks | 0.0748 | 5.65*** |
β GARCH Volatility persistence | 0.9303 | 104.68*** |
γ leverage Additional response to negative shocks | -0.0395 | -2.28** |
Persistence:
0.985
Half-life:
47 days
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