V-Lab
Cafe24 Corp GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
76.65%
increased by 11.53%
1 Week
75.70%
increased by 10.58%
1 Month
72.71%
increased by 7.59%
Analysis last updated: Friday, July 24, 2026 at 07:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 8, 2018 to Jul 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 125% 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 | 0.7059 | 7.11*** |
α ARCH Response to squared shocks | 0.0626 | 7.23*** |
β GARCH Volatility persistence | 0.9116 | 106.47*** |
γ leverage Additional response to negative shocks | -0.0348 | -3.44*** |
Persistence:
0.957
Half-life:
16 days
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