AI Financial Corp GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
74.62%
decreased by 1.50%
1 Week
81.41%
increased by 5.29%
1 Month
100.31%
increased by 24.19%
Analysis last updated: Monday, July 20, 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
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 | 2.8900 | 19.96*** |
α ARCH Response to squared shocks | 0.2120 | 24.98*** |
β GARCH Volatility persistence | 0.7778 | 160.73*** |
γ leverage Additional response to negative shocks | -0.0446 | -3.10*** |
Persistence:
0.968
Half-life:
21 days
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