Trusval Technology AGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
39.58%
decreased by 4.02%
1 Week
40.52%
decreased by 3.08%
1 Month
42.81%
decreased by 0.79%
Analysis last updated: Friday, October 16, 2026 at 09:14 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 23, 2017 to Oct 8, 2026Model Insight
The news-impact curve is shifted (γ = -0.71) 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 | 0.5279 | 4.22*** |
| αARCH | 0.1804 | 7.28*** |
| βGARCH | 0.7459 | 28.12*** |
| γleverage | -0.7090 | -2.05** |
0.926
Persistence9d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5279 | 4.22*** |
α ARCH Response to squared shocks | 0.1804 | 7.28*** |
β GARCH Volatility persistence | 0.7459 | 28.12*** |
γ leverage Additional response to negative shocks | -0.7090 | -2.05** |
Persistence:
0.926
Half-life:
9 days
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