Travelzoo Inc GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
49.52%
decreased by 0.48%
1 Week
51.59%
increased by 1.59%
1 Month
57.69%
increased by 7.69%
Analysis last updated: Wednesday, October 28, 2026 at 10:07 PM 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 23, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 165% 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 165% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7706 | 3.66*** |
| αARCH | 0.1006 | 3.72*** |
| βGARCH | 0.8956 | 50.82*** |
| γleverage | -0.0626 | -2.12** |
0.965
Persistence19d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7706 | 3.66*** |
α ARCH Response to squared shocks | 0.1006 | 3.72*** |
β GARCH Volatility persistence | 0.8956 | 50.82*** |
γ leverage Additional response to negative shocks | -0.0626 | -2.12** |
Persistence:
0.965
Half-life:
19 days
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