V-Lab
Nanjing Vazyme Biotech Co Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
118.99%
decreased by 9.65%
1 Week
117.36%
decreased by 11.28%
1 Month
111.45%
decreased by 17.19%
Analysis last updated: Wednesday, August 26, 2026 at 07:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2021 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 39% 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 | 0.3469 | 11.58*** |
α ARCH Response to squared shocks | 0.1510 | 10.73*** |
β GARCH Volatility persistence | 0.8503 | 112.47*** |
γ leverage Additional response to negative shocks | -0.0427 | -1.97** |
Persistence:
0.980
Half-life:
34 days
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