V-Lab
Tianjin Pengling Rubber Hose Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
33.77%
1 Week
36.03%
1 Month
42.07%
Analysis last updated: Tuesday, August 25, 2026 at 06:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 27, 2014 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 51% 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 | 106 | |
α ARCH Response to squared shocks | 0.1750 | 16.18*** |
β GARCH Volatility persistence | 0.7826 | 91.55*** |
γ leverage Additional response to negative shocks | -0.0589 | -4.33*** |
λ₁ tau intercept Baseline long-term coefficient | 5.2783 | 0.22 |
λ₂ forecast adj. Forecast performance sensitivity | 0.3754 | 0.22 |
λ₃ tau persistence Long-term factor persistence | 0.1086 | 0.03 |
Persistence:
0.928
Half-life:
9 days
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