V-Lab
Dyaco International Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
29.07%
decreased by 1.04%
1 Week
29.33%
decreased by 0.78%
1 Month
30.22%
increased by 0.11%
Analysis last updated: Sunday, August 23, 2026 at 01:55 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 24, 2011 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 29% 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 | 0.0932 | 14.80*** |
α ARCH Response to squared shocks | 0.1026 | 13.68*** |
β GARCH Volatility persistence | 0.8902 | 222.11*** |
γ leverage Additional response to negative shocks | -0.0231 | -1.98** |
Persistence:
0.981
Half-life:
37 days
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