V-Lab
Qingdao Paguld Intelligent MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
40.97%
1 Week
45.04%
1 Month
46.74%
Analysis last updated: Saturday, August 22, 2026 at 07:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 14, 2023 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 227% 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 | 126 | |
α ARCH Response to squared shocks | 0.3445 | 16.03*** |
β GARCH Volatility persistence | 0.2480 | 9.22*** |
γ leverage Additional response to negative shocks | -0.2392 | -7.97*** |
λ₁ tau intercept Baseline long-term coefficient | 8.8683 | 0.25 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.473
Half-life:
1 days
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