V-Lab
Namhwa Industrial Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
87.15%
1 Week
87.89%
1 Month
90.69%
Analysis last updated: Sunday, August 23, 2026 at 01:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 29, 2018 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 101% 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 | 81 | |
α ARCH Response to squared shocks | 0.1566 | 19.13*** |
β GARCH Volatility persistence | 0.8432 | 110.96*** |
γ leverage Additional response to negative shocks | -0.0788 | -4.82*** |
λ₁ tau intercept Baseline long-term coefficient | 1.4816 | 4.25*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.7542 | 9.91*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.960
Half-life:
17 days
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