Travelzoo Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
49.94%
increased by 0.03%
1 Week
51.99%
increased by 2.08%
1 Month
58.03%
increased by 8.12%
Analysis last updated: Saturday, October 10, 2026 at 12:58 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2002 to Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 162% 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
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Inverse leverage: Positive returns increase volatility 162% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7797 | 3.65*** |
| αARCH | 0.1009 | 3.72*** |
| βGARCH | 0.8949 | 50.35*** |
| γleverage | -0.0624 | -2.11** |
0.965
Persistence19d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7797 | 3.65*** |
α ARCH Response to squared shocks | 0.1009 | 3.72*** |
β GARCH Volatility persistence | 0.8949 | 50.35*** |
γ leverage Additional response to negative shocks | -0.0624 | -2.11** |
Persistence:
0.965
Half-life:
19 days
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