Camtek Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
64.97%
decreased by 0.67%
1 Week
63.80%
decreased by 1.84%
1 Month
60.00%
decreased by 5.64%
Analysis last updated: Tuesday, July 14, 2026 at 07:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 2006 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 66% 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 | 0.3328 | 15.93*** |
α ARCH Response to squared shocks | 0.0676 | 12.52*** |
β GARCH Volatility persistence | 0.9075 | 202.88*** |
γ leverage Additional response to negative shocks | -0.0269 | -3.86*** |
Persistence:
0.962
Half-life:
18 days
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