V-Lab
AI Financial Corp GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
100.04%
increased by 7.01%
1 Week
103.86%
increased by 10.83%
1 Month
115.40%
increased by 22.37%
Analysis last updated: Friday, July 24, 2026 at 09:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 7, 1991 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 27% 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 | 2.8942 | 19.99*** |
α ARCH Response to squared shocks | 0.2120 | 24.98*** |
β GARCH Volatility persistence | 0.7778 | 160.81*** |
γ leverage Additional response to negative shocks | -0.0447 | -3.11*** |
Persistence:
0.967
Half-life:
21 days
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