V-Lab
DSR Wire Corp GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
39.75%
decreased by 1.13%
1 Week
40.25%
decreased by 0.63%
1 Month
42.04%
increased by 1.16%
Analysis last updated: Tuesday, August 25, 2026 at 07:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 28, 2003 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 74% 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 | 0.1519 | 9.06*** |
α ARCH Response to squared shocks | 0.0838 | 16.58*** |
β GARCH Volatility persistence | 0.9225 | 175.31*** |
γ leverage Additional response to negative shocks | -0.0356 | -4.79*** |
Persistence:
0.988
Half-life:
60 days
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