V-Lab
Liaoning Shidai Wanheng Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
52.54%
1 Week
52.14%
1 Month
50.66%
Analysis last updated: Saturday, July 25, 2026 at 10:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 28, 2000 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 45% 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 | 91 | |
α ARCH Response to squared shocks | 0.1241 | 25.62*** |
β GARCH Volatility persistence | 0.8146 | 128.68*** |
γ leverage Additional response to negative shocks | -0.0385 | -8.23*** |
λ₁ tau intercept Baseline long-term coefficient | 1.8487 | 2.92*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.7919 | 3.31*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.920
Half-life:
8 days
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