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V-Lab

GMO TECH Holdings Inc GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

21.60%

decreased by 0.34%

1 Week

23.27%

increased by 1.33%

1 Month

25.31%

increased by 3.37%

Analysis last updated: Saturday, August 8, 2026 at 11:16 PM UTC

Date Range:

from

to

6M ·

All

graph of GMO TECH Holdings Inc GJR-GARCH

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: 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.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.5524
5.31***
α

ARCH

Response to squared shocks

0.2099
2.97***
β

GARCH

Volatility persistence

0.6806
16.30***
γ

leverage

Additional response to negative shocks

-0.1818
-2.26**

Persistence:

0.800

Half-life:

3 days