GMO TECH Holdings Inc APARCH Volatility Analysis

Model Insight

This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets. The volatility power δ = 2.76 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.