NX Filtration N.V. GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
69.85%
decreased by 4.33%
1 Week
68.48%
decreased by 5.70%
1 Month
64.13%
decreased by 10.05%
Analysis last updated: Tuesday, July 14, 2026 at 06:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 2021 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 96% 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 | 0.4333 | 7.22*** |
α ARCH Response to squared shocks | 0.1241 | 7.95*** |
β GARCH Volatility persistence | 0.8636 | 75.38*** |
γ leverage Additional response to negative shocks | -0.0608 | -2.70*** |
Persistence:
0.957
Half-life:
16 days
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