V-Lab
Plural Logistica Fii Classe Un AGARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
19.25%
decreased by 0.70%
1 Week
19.70%
decreased by 0.25%
1 Month
20.85%
increased by 0.90%
Analysis last updated: Sunday, July 26, 2026 at 07:13 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 17, 2021 to Jul 24, 2026Model Insight
The news-impact curve is shifted (γ = -0.44) 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
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1173 | 8.51*** |
| αARCH | 0.0874 | 17.22*** |
| βGARCH | 0.8465 | 79.96*** |
| γleverage | -0.4426 | -6.15*** |
0.934
Persistence10d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1173 | 8.51*** |
α ARCH Response to squared shocks | 0.0874 | 17.22*** |
β GARCH Volatility persistence | 0.8465 | 79.96*** |
γ leverage Additional response to negative shocks | -0.4426 | -6.15*** |
Persistence:
0.934
Half-life:
10 days
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