V-Lab
PMV Pharmaceuticals Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
70.40%
increased by 9.46%
1 Week
72.92%
increased by 11.98%
1 Month
76.02%
increased by 15.08%
Analysis last updated: Friday, July 24, 2026 at 09:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 25, 2020 to Jul 24, 2026Boundary Parameters
Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 141% 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 | 11.81*** |
α ARCH Response to squared shocks | 0.3030 | 8.76*** |
β GARCH Volatility persistence | 0.5763 | 21.78*** |
γ leverage Additional response to negative shocks | -0.1772 | -3.67*** |
Persistence:
0.791
Half-life:
3 days
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