V-Lab
Prescient Therapeutics Limited GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
135.89%
decreased by 9.01%
1 Week
133.10%
decreased by 11.80%
1 Month
124.86%
decreased by 20.04%
Analysis last updated: Saturday, July 25, 2026 at 10:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 28, 1996 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 100% 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 | 2.4135 | 14.73*** |
α ARCH Response to squared shocks | 0.1316 | 12.28*** |
β GARCH Volatility persistence | 0.8469 | 133.17*** |
γ leverage Additional response to negative shocks | -0.0657 | -4.56*** |
Persistence:
0.946
Half-life:
12 days
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