V-Lab
Luyuan Group Holding Cayman MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
54.89%
1 Week
59.15%
1 Month
63.42%
Analysis last updated: Saturday, August 22, 2026 at 08:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 11, 2023 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 392% 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 | 71 | |
α ARCH Response to squared shocks | 0.2041 | 16.32*** |
β GARCH Volatility persistence | 0.5821 | 14.30*** |
γ leverage Additional response to negative shocks | -0.1626 | -8.27*** |
λ₁ tau intercept Baseline long-term coefficient | 2.2248 | 0.10 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7745 | 0.09 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.705
Half-life:
2 days
Other Luyuan Group Holding Cayman Analyses
Other MF2-GARCH Analyses on International Equities