V-Lab
Sansteel Minguang Co Ltd Fujian MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
29.90%
1 Week
29.86%
1 Month
32.13%
Analysis last updated: Wednesday, September 16, 2026 at 04:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 26, 2007 to Sep 14, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 73% 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
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 121 | |
| αARCH | 0.1015 | 6.63*** |
| βGARCH | 0.8790 | 50.92*** |
| γleverage | -0.0427 | -2.44** |
| λ₁tau intercept | 1.4667 | 1.58 |
| λ₂forecast adj. | 0.7902 | 7.12*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.959
Persistence17d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 121 | |
α ARCH Response to squared shocks | 0.1015 | 6.63*** |
β GARCH Volatility persistence | 0.8790 | 50.92*** |
γ leverage Additional response to negative shocks | -0.0427 | -2.44** |
λ₁ tau intercept Baseline long-term coefficient | 1.4667 | 1.58 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7902 | 7.12*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.959
Half-life:
17 days
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