V-Lab
Travelzoo Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
51.48%
increased by 0.17%
1 Week
53.39%
increased by 2.08%
1 Month
59.05%
increased by 7.74%
Analysis last updated: Friday, September 18, 2026 at 10:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2002 to Sep 18, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 159% 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 159% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7888 | 3.65*** |
| αARCH | 0.1005 | 3.71*** |
| βGARCH | 0.8945 | 50.02*** |
| γleverage | -0.0617 | -2.08** |
0.964
Persistence19d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7888 | 3.65*** |
α ARCH Response to squared shocks | 0.1005 | 3.71*** |
β GARCH Volatility persistence | 0.8945 | 50.02*** |
γ leverage Additional response to negative shocks | -0.0617 | -2.08** |
Persistence:
0.964
Half-life:
19 days
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