V-Lab
Caracas Stock Exchange Stock Market Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
59.58%
decreased by 0.27%
1 Week
66.43%
increased by 6.58%
1 Month
74.39%
increased by 14.54%
Analysis last updated: Saturday, July 25, 2026 at 09:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 25, 2015 to Jul 24, 2026Boundary Parameters
Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 148% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 9.56*** |
α ARCH Response to squared shocks | 0.2211 | 9.96*** |
β GARCH Volatility persistence | 0.6391 | 26.92*** |
γ leverage Additional response to negative shocks | -0.1318 | -3.52*** |
Persistence:
0.794
Half-life:
3 days
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