Skip to main content
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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Nj Holdings Inc AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 21, 2006 to Aug 14, 2026

Model 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

ParameterValuet-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