V-Lab
SJ Au Logistica FII AGARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
120.17%
increased by 6.16%
1 Week
161.25%
increased by 47.24%
1 Month
190.50%
increased by 76.49%
Analysis last updated: Thursday, October 1, 2026 at 10:29 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 11, 2021 to Sep 25, 2026Model Insight
The news-impact curve is shifted (γ = -10.00) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.0000 | 1.27 |
| αARCH | 0.3306 | 3.36*** |
| βGARCH | 0.3698 | 7.06*** |
| γleverage | -10.0000 | -2.39** |
0.700
Persistence2d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.0000 | 1.27 |
α ARCH Response to squared shocks | 0.3306 | 3.36*** |
β GARCH Volatility persistence | 0.3698 | 7.06*** |
γ leverage Additional response to negative shocks | -10.0000 | -2.39** |
Persistence:
0.700
Half-life:
2 days
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