V-Lab
Taeyang Corp MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
22.57%
1 Week
24.62%
1 Month
29.18%
Analysis last updated: Friday, July 24, 2026 at 07:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 16, 2007 to Jul 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 19% 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 | 61 | |
α ARCH Response to squared shocks | 0.1874 | 17.69*** |
β GARCH Volatility persistence | 0.7255 | 48.67*** |
γ leverage Additional response to negative shocks | -0.0294 | -1.99** |
λ₁ tau intercept Baseline long-term coefficient | 1.5840 | 3.07*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.6508 | 5.28*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.898
Half-life:
6 days
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