Generative AI Mania and Macro Vulnerability: Asymmetric Volatility Dynamics of Tech Giants via EGARCH-X (2023-2026)

Abstract

The period from January 2023 to July 2026 witnessed an unprecedented surge in investor enthusiasm surrounding generative artificial intelligence (AI), propelling technology-sector equities—most notably NVIDIA Corporation (NVDA)—to extraordinary cumulative excess returns. This paper examines whether the AI innovation narrative confers immunity to macroeconomic systemic risk transmission. Using 866 daily observations, we estimate Exponential GARCH models augmented with exogenous macro-stress variables (EGARCH-X), incorporating the ICE BofA MOVE Index as a proxy for sovereign bond market dislocation. Our cross-sectional analysis covers five assets: NVDA, AMD, MSFT, GOOGL, and the S&P; 500 (SPY). Three findings emerge. First, the leverage effect is monotonically weaker as assets move closer to the AI narrative core: SPY exhibits the strongest leverage (γ = −0.198, p < 0.001), while AMD shows no significant asymmetry (γ = +0.028, n.s.). This cross-sectional gradient is consistent with a behavioral hypothesis: momentum-driven buy-the-dip dynamics suppress the institutional fear-leverage channel in high-narrative assets. Second, NVDA's ARCH coefficient (α = 0.142) substantially exceeds SPY's (0.088), confirming greater sensitivity to information shocks. Third, a structural break analysis centered on the January 27, 2025 DeepSeek announcement reveals a fundamental regime shift in NVDA's volatility dynamics, while SPY parameters remain stable—evidence of AI-specific structural fragility.

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