Blom Stock Index EGARCH Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
15.60%
increased by 0.56%
1 Week
16.25%
increased by 1.21%
1 Month
18.12%
increased by 3.08%
Analysis last updated: Friday, July 10, 2026 at 08:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 19, 1996 to Apr 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 61% 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
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0410 | 14.55*** |
α ARCH Response to squared shocks | 0.2748 | 12.14*** |
β GARCH Volatility persistence | 0.9294 | 66.25*** |
γ leverage Additional response to negative shocks | 0.0641 | 4.65*** |
Persistence:
0.929
Half-life:
9 days
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