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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of Nanjing Vazyme Biotech Co Ltd GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 15, 2021 to Aug 21, 2026

Model 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

ParameterValuet-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