V-Lab
Kaleon SpA GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
13.64%
decreased by 0.29%
1 Week
14.57%
increased by 0.64%
1 Month
15.25%
increased by 1.32%
Analysis last updated: Friday, August 14, 2026 at 06:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 1, 2025 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3266 | 3.64*** |
α ARCH Response to squared shocks | 0.2149 | 2.53** |
β GARCH Volatility persistence | 0.5336 | 5.26*** |
γ leverage Additional response to negative shocks | -0.1828 | -1.98** |
Persistence:
0.657
Half-life:
2 days
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