Allurion Technologies Inc EGARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
309.92%
increased by 25.34%
1 Week
336.17%
increased by 51.59%
1 Month
479.99%
increased by 195.41%
Analysis last updated: Saturday, July 11, 2026 at 09:27 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 5, 2021 to Jul 10, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 239 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 88% more than positive returns
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0957 | 5.60*** |
α ARCH Response to squared shocks | 0.4829 | 8.32*** |
β GARCH Volatility persistence | 0.9971 | 901.54*** |
γ leverage Additional response to negative shocks | -0.1474 | -3.74*** |
Persistence:
0.997
Half-life:
239 days
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