V-Lab
Vietnam Electricity AGARCH Volatility Analysis
Volatility prediction for Monday, June 29th, 2026
1 Day
37.90%
decreased by 6.71%
1 Week
40.29%
decreased by 4.32%
1 Month
43.46%
decreased by 1.15%
Analysis last updated: Sunday, June 28, 2026 at 02:52 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 15, 2024 to Jun 26, 2026Model Insight
The news-impact curve is shifted (γ = -0.33) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4590 | 12.53*** |
α ARCH Response to squared shocks | 0.3981 | 21.79*** |
β GARCH Volatility persistence | 0.4164 | 18.90*** |
γ leverage Additional response to negative shocks | -0.3326 | -3.45*** |
Persistence:
0.814
Half-life:
3 days
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