Kafr El-Zayat Pesticides & Chemicals Co GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
37.04%
increased by 3.54%
1 Week
40.85%
increased by 7.35%
1 Month
48.96%
increased by 15.46%
Analysis last updated: Tuesday, July 14, 2026 at 06:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 14, 1996 to Jul 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 39% 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 | 1.0637 | 19.44*** |
α ARCH Response to squared shocks | 0.2485 | 12.47*** |
β GARCH Volatility persistence | 0.7079 | 77.26*** |
γ leverage Additional response to negative shocks | -0.0697 | -2.43** |
Persistence:
0.921
Half-life:
8 days
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