V-Lab
Plural Logistica Fii Classe Un GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
19.04%
decreased by 0.53%
1 Week
19.42%
decreased by 0.15%
1 Month
20.50%
increased by 0.93%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 250% 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
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Inverse leverage: Positive returns increase volatility 250% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1016 | 9.28*** |
| αARCH | 0.1100 | 8.51*** |
| βGARCH | 0.8800 | 100.72*** |
| γleverage | -0.0786 | -4.88*** |
0.951
Persistence14d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1016 | 9.28*** |
α ARCH Response to squared shocks | 0.1100 | 8.51*** |
β GARCH Volatility persistence | 0.8800 | 100.72*** |
γ leverage Additional response to negative shocks | -0.0786 | -4.88*** |
Persistence:
0.951
Half-life:
14 days
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