V-Lab
Kwang Dong Pharmaceutical Co Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
41.07%
decreased by 2.02%
1 Week
41.59%
decreased by 1.50%
1 Month
43.33%
increased by 0.24%
Analysis last updated: Sunday, July 26, 2026 at 03:41 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 23% 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 | 0.2247 | 15.37*** |
α ARCH Response to squared shocks | 0.1124 | 21.36*** |
β GARCH Volatility persistence | 0.8774 | 245.42*** |
γ leverage Additional response to negative shocks | -0.0211 | -2.47** |
Persistence:
0.979
Half-life:
33 days
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