Kaleon SpA GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
13.80%
decreased by 0.13%
1 Week
14.84%
increased by 0.91%
1 Month
15.61%
increased by 1.68%
Analysis last updated: Thursday, July 16, 2026 at 06:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 1, 2025 to Jul 10, 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 | 0.3337 | 3.69*** |
α ARCH Response to squared shocks | 0.2263 | 2.54** |
β GARCH Volatility persistence | 0.5376 | 5.53*** |
γ leverage Additional response to negative shocks | -0.1940 | -1.99** |
Persistence:
0.667
Half-life:
2 days
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