V-Lab
Esteem Co Ltd AGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
84.39%
increased by 2.03%
1 Week
89.76%
increased by 7.40%
1 Month
90.95%
increased by 8.59%
Analysis last updated: Friday, September 11, 2026 at 08:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 6, 2026 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = -10.00) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.0000 | 1.71* |
| αARCH | 0.1359 | 1.75* |
| βGARCH | 0.0000 | 0.00 |
| γleverage | -10.0000 | -2.47** |
0.136
Persistence0d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.0000 | 1.71* |
α ARCH Response to squared shocks | 0.1359 | 1.75* |
β GARCH Volatility persistence | 0.0000 | 0.00 |
γ leverage Additional response to negative shocks | -10.0000 | -2.47** |
Persistence:
0.136
Half-life:
0 days
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