V-Lab
Han Kook Capital Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, July 30th, 2026
1 Day
40.20%
1 Week
44.31%
1 Month
47.10%
Analysis last updated: Thursday, July 30, 2026 at 07:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 26, 2001 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 48% 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 | 31 | |
α ARCH Response to squared shocks | 0.3715 | 25.03*** |
β GARCH Volatility persistence | 0.3704 | 17.64*** |
γ leverage Additional response to negative shocks | -0.1199 | -6.25*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2514 | 1.40 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2345 | 1.72* |
λ₃ tau persistence Long-term factor persistence | 0.7236 | 4.31*** |
Persistence:
0.682
Half-life:
2 days
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