V-Lab
Trusval Technology GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
50.71%
decreased by 4.62%
1 Week
50.28%
decreased by 5.05%
1 Month
48.97%
decreased by 6.36%
Analysis last updated: Wednesday, August 5, 2026 at 08:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 23, 2017 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 70% 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 | 0.3832 | 14.50*** |
α ARCH Response to squared shocks | 0.1869 | 14.75*** |
β GARCH Volatility persistence | 0.8053 | 94.16*** |
γ leverage Additional response to negative shocks | -0.0771 | -4.28*** |
Persistence:
0.954
Half-life:
15 days
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