V-Lab
Cic Holdings Plc EGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
33.14%
decreased by 1.90%
1 Week
35.50%
increased by 0.46%
1 Month
40.27%
increased by 5.23%
Analysis last updated: Sunday, August 9, 2026 at 01:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 18, 2008 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 43% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2734 | 9.85*** |
α ARCH Response to squared shocks | 0.2170 | 13.66*** |
β GARCH Volatility persistence | 0.8662 | 59.33*** |
γ leverage Additional response to negative shocks | 0.0385 | 3.25*** |
Persistence:
0.866
Half-life:
5 days
Other Cic Holdings Plc Analyses
Other EGARCH Analyses on International Equities