Inversora Juramento Sa EGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
40.74%
decreased by 0.93%
1 Week
41.22%
decreased by 0.45%
1 Month
43.07%
increased by 1.40%
Analysis last updated: Saturday, July 18, 2026 at 08:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2011 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 114% 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 | 0.0390 | 7.89*** |
α ARCH Response to squared shocks | 0.0713 | 16.92*** |
β GARCH Volatility persistence | 0.9857 | 624.24*** |
γ leverage Additional response to negative shocks | 0.0259 | 4.27*** |
Persistence:
0.986
Half-life:
48 days
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