AI Financial Corp AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
72.68%
decreased by 2.82%
1 Week
80.34%
increased by 4.84%
1 Month
101.08%
increased by 25.58%
Analysis last updated: Tuesday, July 21, 2026 at 09:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 7, 1991 to Jul 17, 2026Model Insight
The news-impact curve is shifted (γ = -0.51) 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 | 3.0696 | 21.39*** |
α ARCH Response to squared shocks | 0.2009 | 34.74*** |
β GARCH Volatility persistence | 0.7650 | 147.94*** |
γ leverage Additional response to negative shocks | -0.5091 | -3.51*** |
Persistence:
0.966
Half-life:
20 days
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