V-Lab
Nj Holdings Inc AGARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
36.07%
decreased by 0.96%
1 Week
41.83%
increased by 4.80%
1 Month
55.30%
increased by 18.27%
Analysis last updated: Saturday, August 15, 2026 at 10:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 21, 2006 to Aug 14, 2026Model Insight
The news-impact curve is shifted (γ = -0.54) 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1255 | 21.09*** |
α ARCH Response to squared shocks | 0.2355 | 42.65*** |
β GARCH Volatility persistence | 0.7148 | 134.72*** |
γ leverage Additional response to negative shocks | -0.5356 | -5.82*** |
Persistence:
0.950
Half-life:
14 days
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