V-Lab
Pngs Reva Diamond Jewellery Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
42.89%
increased by 2.39%
1 Week
50.56%
increased by 10.06%
1 Month
54.92%
increased by 14.42%
Analysis last updated: Tuesday, August 25, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 4, 2026 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 349% 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 | 13.51*** |
α ARCH Response to squared shocks | 0.6875 | 4.44*** |
β GARCH Volatility persistence | 0.1830 | 3.89*** |
γ leverage Additional response to negative shocks | -0.5345 | -3.28*** |
Persistence:
0.603
Half-life:
1 days
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