Ghana Stock Exchange Composite Index EGARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
10.01%
decreased by 0.11%
1 Week
10.85%
increased by 0.73%
1 Month
12.57%
increased by 2.45%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 2011 to Apr 30, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 35% 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 | -0.0349 | -4.38*** |
α ARCH Response to squared shocks | 0.2712 | 20.31*** |
β GARCH Volatility persistence | 0.8658 | 62.75*** |
γ leverage Additional response to negative shocks | 0.0404 | 2.87*** |
Persistence:
0.866
Half-life:
5 days
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