V-Lab
CRA International Inc AGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
39.71%
increased by 0.04%
1 Week
41.75%
increased by 2.08%
1 Month
44.59%
increased by 4.92%
Analysis last updated: Friday, August 7, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 24, 1998 to Aug 7, 2026Model Insight
The news-impact curve is shifted (γ = 0.35) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4865 | 21.28*** |
α ARCH Response to squared shocks | 0.1624 | 24.09*** |
β GARCH Volatility persistence | 0.6599 | 61.82*** |
γ leverage Additional response to negative shocks | 0.3455 | 3.35*** |
Persistence:
0.822
Half-life:
4 days
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