Thalia Therapeutics PLC EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
73.96%
decreased by 0.07%
1 Week
90.84%
increased by 16.81%
1 Month
110.28%
increased by 36.25%
Analysis last updated: Tuesday, July 21, 2026 at 08:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 2007 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 25% 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
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0697 | 11.34*** |
α ARCH Response to squared shocks | 0.3153 | 18.11*** |
β GARCH Volatility persistence | 0.7337 | 30.01*** |
γ leverage Additional response to negative shocks | 0.0351 | 2.32** |
Persistence:
0.734
Half-life:
2 days
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