V-Lab
Oxford Nanopore Technologies MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
150.24%
1 Week
99.51%
1 Month
74.28%
Analysis last updated: Saturday, August 22, 2026 at 08:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 4, 2021 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 240% 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 | 0.1864 | 4.91*** |
β GARCH Volatility persistence | 0.2435 | 6.72*** |
γ leverage Additional response to negative shocks | -0.1316 | -4.65*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.9998 | 36.59*** |
Persistence:
0.364
Half-life:
1 days
Other Oxford Nanopore Technologies Analyses
Other MF2-GARCH Analyses on International Equities