Gdh Supertime Group Company GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
31.82%
decreased by 1.07%
1 Week
32.54%
decreased by 0.35%
1 Month
34.15%
increased by 1.26%
Analysis last updated: Tuesday, July 14, 2026 at 06:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 16, 2022 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 106% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4636 | 11.02*** |
α ARCH Response to squared shocks | 0.1327 | 6.03*** |
β GARCH Volatility persistence | 0.8112 | 58.18*** |
γ leverage Additional response to negative shocks | -0.0681 | -2.64*** |
Persistence:
0.910
Half-life:
7 days
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