V-Lab
Trusval Technology GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
31.06%
decreased by 1.66%
1 Week
32.58%
decreased by 0.14%
1 Month
36.70%
increased by 3.98%
Analysis last updated: Tuesday, August 25, 2026 at 08:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 23, 2017 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 72% 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 | 0.3835 | 14.51*** |
α ARCH Response to squared shocks | 0.1854 | 14.71*** |
β GARCH Volatility persistence | 0.8058 | 94.24*** |
γ leverage Additional response to negative shocks | -0.0776 | -4.33*** |
Persistence:
0.952
Half-life:
14 days
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