V-Lab
Varopakorn Co GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
148.16%
decreased by 13.72%
1 Week
143.67%
decreased by 18.21%
1 Month
128.95%
decreased by 32.93%
Analysis last updated: Sunday, August 23, 2026 at 02:33 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 1992 to Aug 21, 2026Illiquid Asset
Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 28% 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 | 0.9206 | 16.73*** |
α ARCH Response to squared shocks | 0.1573 | 16.99*** |
β GARCH Volatility persistence | 0.8181 | 124.43*** |
γ leverage Additional response to negative shocks | -0.0343 | -2.40** |
Persistence:
0.958
Half-life:
16 days
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