V-Lab
Vietnam Electricity GJR-GARCH Volatility Analysis
Volatility prediction for Monday, June 29th, 2026
1 Day
52.52%
increased by 5.39%
1 Week
50.75%
increased by 3.62%
1 Month
47.79%
increased by 0.66%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 64% 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 | 1.3320 | 11.86*** |
α ARCH Response to squared shocks | 0.4847 | 11.20*** |
β GARCH Volatility persistence | 0.4498 | 18.91*** |
γ leverage Additional response to negative shocks | -0.1900 | -2.80*** |
Persistence:
0.839
Half-life:
4 days
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