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V-Lab

Zensho Holdings Co Ltd MF2-GARCH Volatility Analysis

Volatility prediction for Tuesday, August 25th, 2026

1 Day

44.23%

decreased by 0.80%

1 Week

44.91%

decreased by 0.12%

1 Month

46.31%

increased by 1.28%

Analysis last updated: Tuesday, August 25, 2026 at 06:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Zensho Holdings Co Ltd MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jul 21, 2020 to Aug 21, 2026

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 102% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

126
α

ARCH

Response to squared shocks

0.1110
9.37***
β

GARCH

Volatility persistence

0.7670
18.74***
γ

leverage

Additional response to negative shocks

-0.0561
-2.91***
λ₁

tau intercept

Baseline long-term coefficient

0.0092
0.38
λ₂

forecast adj.

Forecast performance sensitivity

0.0163
1.47
λ₃

tau persistence

Long-term factor persistence

0.9837
61.45***

Persistence:

0.850

Half-life:

4 days