V-Lab
Song Hong Aluminium Jsc EGARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
36.93%
decreased by 2.46%
1 Week
40.91%
increased by 1.52%
1 Month
52.68%
increased by 13.29%
Analysis last updated: Sunday, August 16, 2026 at 02:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 6, 2018 to Aug 14, 2026Illiquid Asset
Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 30% 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 | 0.2471 | 22.17*** |
α ARCH Response to squared shocks | 0.2815 | 32.14*** |
β GARCH Volatility persistence | 0.9167 | 238.22*** |
γ leverage Additional response to negative shocks | 0.0368 | 4.01*** |
Persistence:
0.917
Half-life:
8 days
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