V-Lab
Daito Chemix Corp MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
52.41%
1 Week
56.02%
1 Month
58.64%
Analysis last updated: Wednesday, August 26, 2026 at 08:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 31, 1996 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 15% 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 | 81 | |
α ARCH Response to squared shocks | 0.1665 | 24.20*** |
β GARCH Volatility persistence | 0.5128 | 18.57*** |
γ leverage Additional response to negative shocks | -0.0217 | -1.96** |
λ₁ tau intercept Baseline long-term coefficient | 0.1913 | 0.89 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0976 | 1.01 |
λ₃ tau persistence Long-term factor persistence | 0.8817 | 7.43*** |
Persistence:
0.669
Half-life:
2 days
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