V-Lab
Liaoning Shidai Wanheng Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
94.39%
1 Week
89.54%
1 Month
76.24%
Analysis last updated: Thursday, October 1, 2026 at 06:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 28, 2000 to Sep 30, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 46% 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
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 91 | |
| αARCH | 0.1271 | 6.95*** |
| βGARCH | 0.8088 | 32.15*** |
| γleverage | -0.0402 | -2.11** |
| λ₁tau intercept | 1.8489 | 2.85*** |
| λ₂forecast adj. | 0.7935 | 5.86*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.916
Persistence8d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 91 | |
α ARCH Response to squared shocks | 0.1271 | 6.95*** |
β GARCH Volatility persistence | 0.8088 | 32.15*** |
γ leverage Additional response to negative shocks | -0.0402 | -2.11** |
λ₁ tau intercept Baseline long-term coefficient | 1.8489 | 2.85*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.7935 | 5.86*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.916
Half-life:
8 days
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