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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

Date Range:

from

to

6M ·

All

graph of GMO TECH Holdings Inc EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 1, 2025 to Aug 7, 2026

Model 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

ParameterValuet-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