Shanghai Urban Architecture Design Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
57.30%
1 Week
53.18%
1 Month
47.17%
Analysis last updated: Tuesday, July 14, 2026 at 06:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 20, 2021 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 197% 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 | 86 | |
α ARCH Response to squared shocks | 0.3793 | 14.78*** |
β GARCH Volatility persistence | 0.5331 | 23.06*** |
γ leverage Additional response to negative shocks | -0.2517 | -9.03*** |
λ₁ tau intercept Baseline long-term coefficient | 5.5659 | 0.05 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1631 | 0.05 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.787
Half-life:
3 days
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