V-Lab
Sunjuice Holdings Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
28.23%
1 Week
29.71%
1 Month
32.24%
Analysis last updated: Friday, September 11, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 5, 2012 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 95% 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 | 36 | |
| αARCH | 0.1339 | 5.77*** |
| βGARCH | 0.7746 | 14.52*** |
| γleverage | -0.0651 | -2.09** |
| λ₁tau intercept | 4.0792 | 0.45 |
| λ₂forecast adj. | 0.1339 | 0.47 |
| λ₃tau persistence | 0.0000 | 0.00 |
0.876
Persistence5d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 36 | |
α ARCH Response to squared shocks | 0.1339 | 5.77*** |
β GARCH Volatility persistence | 0.7746 | 14.52*** |
γ leverage Additional response to negative shocks | -0.0651 | -2.09** |
λ₁ tau intercept Baseline long-term coefficient | 4.0792 | 0.45 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1339 | 0.47 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.876
Half-life:
5 days
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