V-Lab
Anhui Tatfook Technology Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
47.91%
1 Week
48.77%
1 Month
51.31%
Analysis last updated: Wednesday, August 5, 2026 at 06:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 26, 2010 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 28% 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 | 51 | |
α ARCH Response to squared shocks | 0.0906 | 10.12*** |
β GARCH Volatility persistence | 0.8798 | 55.91*** |
γ leverage Additional response to negative shocks | -0.0197 | -2.84*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.01 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0164 | 0.01 |
λ₃ tau persistence Long-term factor persistence | 0.2379 | 0.00 |
Persistence:
0.961
Half-life:
17 days
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