V-Lab
Visa Chrome Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
43.92%
increased by 1.17%
1 Week
46.80%
increased by 4.05%
1 Month
50.39%
increased by 7.64%
Analysis last updated: Sunday, July 26, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 27, 2006 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 91% 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 | 2.1646 | 26.11*** |
α ARCH Response to squared shocks | 0.3119 | 16.83*** |
β GARCH Volatility persistence | 0.5623 | 54.29*** |
γ leverage Additional response to negative shocks | -0.1483 | -5.19*** |
Persistence:
0.800
Half-life:
3 days
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