V-Lab
Big Sky Industrial Inc AGARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
91.11%
decreased by 5.36%
1 Week
91.59%
decreased by 4.88%
1 Month
93.28%
decreased by 3.19%
Analysis last updated: Friday, August 14, 2026 at 09:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 14, 2026Model Insight
The news-impact curve is shifted (γ = -0.27) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8588 | 22.35*** |
α ARCH Response to squared shocks | 0.1143 | 36.05*** |
β GARCH Volatility persistence | 0.8649 | 244.80*** |
γ leverage Additional response to negative shocks | -0.2662 | -2.13** |
Persistence:
0.979
Half-life:
33 days
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