V-Lab
APT Satellite Holdings Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
35.62%
1 Week
39.50%
1 Month
47.25%
Analysis last updated: Saturday, October 3, 2026 at 06:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 18, 1996 to Oct 2, 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 | 0.2262 | 5.93*** |
| βGARCH | 0.7304 | 23.14*** |
| γleverage | -0.1126 | -2.89*** |
| λ₁tau intercept | 0.0804 | 0.81 |
| λ₂forecast adj. | 0.0976 | 1.55 |
| λ₃tau persistence | 0.8959 | 12.84*** |
0.900
Persistence7d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.2262 | 5.93*** |
β GARCH Volatility persistence | 0.7304 | 23.14*** |
γ leverage Additional response to negative shocks | -0.1126 | -2.89*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0804 | 0.81 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0976 | 1.55 |
λ₃ tau persistence Long-term factor persistence | 0.8959 | 12.84*** |
Persistence:
0.900
Half-life:
7 days
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