V-Lab
Ambica Agarb & Aroma Ind GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
42.05%
increased by 1.77%
1 Week
44.72%
increased by 4.44%
1 Month
51.30%
increased by 11.02%
Analysis last updated: Wednesday, August 26, 2026 at 08:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 4, 2011 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 120% 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 | 0.9169 | 7.55*** |
α ARCH Response to squared shocks | 0.1956 | 7.94*** |
β GARCH Volatility persistence | 0.7968 | 44.88*** |
γ leverage Additional response to negative shocks | -0.1066 | -3.75*** |
Persistence:
0.939
Half-life:
11 days
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