Ctac NV GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
46.13%
decreased by 2.71%
1 Week
45.75%
decreased by 3.09%
1 Month
44.64%
decreased by 4.20%
Analysis last updated: Tuesday, July 14, 2026 at 06:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 26, 2025 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3867 | 5.15*** |
α ARCH Response to squared shocks | 0.1885 | 3.50*** |
β GARCH Volatility persistence | 0.8512 | 42.24*** |
γ leverage Additional response to negative shocks | -0.1885 | -2.67*** |
Persistence:
0.945
Half-life:
12 days
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