V-Lab
Capitalonline Data Service Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
70.59%
1 Week
72.64%
1 Month
72.61%
Analysis last updated: Tuesday, August 25, 2026 at 06:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 1, 2020 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 195% 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 | 21 | |
α ARCH Response to squared shocks | 0.0696 | 6.89*** |
β GARCH Volatility persistence | 0.7977 | 23.98*** |
γ leverage Additional response to negative shocks | -0.0460 | -3.98*** |
λ₁ tau intercept Baseline long-term coefficient | 4.6942 | 0.39 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7755 | 0.52 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.844
Half-life:
4 days
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