V-Lab
Vinacomin Vang Danh Coal GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
30.55%
decreased by 0.47%
1 Week
31.05%
increased by 0.03%
1 Month
32.83%
increased by 1.81%
Analysis last updated: Sunday, August 23, 2026 at 03:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 10, 2011 to Aug 21, 2026Illiquid Asset
Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 80% 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 | 0.1002 | 13.72*** |
α ARCH Response to squared shocks | 0.0785 | 13.71*** |
β GARCH Volatility persistence | 0.9284 | 348.25*** |
γ leverage Additional response to negative shocks | -0.0349 | -4.36*** |
Persistence:
0.989
Half-life:
66 days
Other Vinacomin Vang Danh Coal Analyses
Other GJR-GARCH Analyses on International Equities