V-Lab
GMO TECH Holdings Inc EGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
19.77%
decreased by 1.29%
1 Week
21.79%
increased by 0.73%
1 Month
25.52%
increased by 4.46%
Analysis last updated: Saturday, August 8, 2026 at 11:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 2025 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 248% 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
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1788 | 3.43*** |
α ARCH Response to squared shocks | 0.2718 | 10.55*** |
β GARCH Volatility persistence | 0.8429 | 20.89*** |
γ leverage Additional response to negative shocks | 0.1504 | 4.19*** |
Persistence:
0.843
Half-life:
4 days
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