V-Lab
Arlitech Electronic Corp GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
56.51%
decreased by 3.61%
1 Week
55.73%
decreased by 4.39%
1 Month
53.08%
decreased by 7.04%
Analysis last updated: Sunday, August 23, 2026 at 03:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 26, 2014 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 37% 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 | 0.2163 | 12.77*** |
α ARCH Response to squared shocks | 0.1184 | 13.57*** |
β GARCH Volatility persistence | 0.8662 | 135.08*** |
γ leverage Additional response to negative shocks | -0.0318 | -2.48** |
Persistence:
0.969
Half-life:
22 days
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