V-Lab
Heungkuk Fire & Marine Insurance Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
45.69%
1 Week
49.86%
1 Month
57.79%
Analysis last updated: Saturday, August 8, 2026 at 11:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 23% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 66 | |
α ARCH Response to squared shocks | 0.1974 | 31.65*** |
β GARCH Volatility persistence | 0.7080 | 91.88*** |
γ leverage Additional response to negative shocks | -0.0372 | -4.21*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1379 | 4.25*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.2956 | 7.30*** |
λ₃ tau persistence Long-term factor persistence | 0.7020 | 16.01*** |
Persistence:
0.887
Half-life:
6 days
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