Investeringsselskabet af 3. november 2025 A/S MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
71.73%
decreased by 7.51%
1 Week
74.68%
decreased by 4.56%
1 Month
82.40%
increased by 3.16%
Analysis last updated: Wednesday, July 15, 2026 at 06:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 21, 1991 to Jul 10, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 34% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 76 | |
α ARCH Response to squared shocks | 0.1753 | 8.52*** |
β GARCH Volatility persistence | 0.6725 | 31.05*** |
γ leverage Additional response to negative shocks | 0.0591 | 2.79*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2208 | 1.63 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0255 | 1.69* |
λ₃ tau persistence Long-term factor persistence | 0.9537 | 36.73*** |
Persistence:
0.877
Half-life:
5 days
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