V-Lab
Fujian Yanjing Huiquan Brewery Co Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
34.17%
decreased by 1.57%
1 Week
34.85%
decreased by 0.89%
1 Month
36.97%
increased by 1.23%
Analysis last updated: Saturday, July 25, 2026 at 10:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 26, 2003 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 48% 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
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2402 | 18.81*** |
α ARCH Response to squared shocks | 0.1217 | 20.90*** |
β GARCH Volatility persistence | 0.8668 | 228.52*** |
γ leverage Additional response to negative shocks | -0.0394 | -4.88*** |
Persistence:
0.969
Half-life:
22 days
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