V-Lab
APT Satellite Holdings Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
53.53%
1 Week
53.86%
1 Month
55.37%
Analysis last updated: Friday, September 11, 2026 at 07:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 18, 1996 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 99% 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 | 126 | |
| αARCH | 0.2269 | 5.91*** |
| βGARCH | 0.7280 | 22.95*** |
| γleverage | -0.1127 | -2.87*** |
| λ₁tau intercept | 0.0828 | 0.81 |
| λ₂forecast adj. | 0.1001 | 1.55 |
| λ₃tau persistence | 0.8934 | 12.45*** |
0.899
Persistence6d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.2269 | 5.91*** |
β GARCH Volatility persistence | 0.7280 | 22.95*** |
γ leverage Additional response to negative shocks | -0.1127 | -2.87*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0828 | 0.81 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1001 | 1.55 |
λ₃ tau persistence Long-term factor persistence | 0.8934 | 12.45*** |
Persistence:
0.899
Half-life:
6 days
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