V-Lab
Appian Corp GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
57.05%
decreased by 3.06%
1 Week
59.85%
decreased by 0.26%
1 Month
64.70%
increased by 4.59%
Analysis last updated: Tuesday, August 25, 2026 at 09:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 25, 2017 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 81% 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 | 2.4398 | 14.02*** |
α ARCH Response to squared shocks | 0.1968 | 12.36*** |
β GARCH Volatility persistence | 0.7157 | 52.06*** |
γ leverage Additional response to negative shocks | -0.0880 | -3.57*** |
Persistence:
0.868
Half-life:
5 days
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