V-Lab
Taeyang Corp GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
20.15%
decreased by 1.01%
1 Week
22.08%
increased by 0.92%
1 Month
28.15%
increased by 6.99%
Analysis last updated: Sunday, August 23, 2026 at 01:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 16, 2007 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 37% 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 | 0.1803 | 16.16*** |
α ARCH Response to squared shocks | 0.2263 | 19.11*** |
β GARCH Volatility persistence | 0.7941 | 97.37*** |
γ leverage Additional response to negative shocks | -0.0617 | -3.44*** |
Persistence:
0.990
Half-life:
67 days
Other GJR-GARCH Analyses on International Equities