Liaoning Shidai Wanheng Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
103.40%
1 Week
98.32%
1 Month
83.18%
Analysis last updated: Sunday, October 25, 2026 at 01:21 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 28, 2000 to Oct 23, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 48% 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 | 0.1289 | 7.11*** |
| βGARCH | 0.8095 | 32.74*** |
| γleverage | -0.0418 | -2.21** |
| λ₁tau intercept | 1.8606 | 2.85*** |
| λ₂forecast adj. | 0.7950 | 5.94*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.918
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 | 0.1289 | 7.11*** |
β GARCH Volatility persistence | 0.8095 | 32.74*** |
γ leverage Additional response to negative shocks | -0.0418 | -2.21** |
λ₁ tau intercept Baseline long-term coefficient | 1.8606 | 2.85*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.7950 | 5.94*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.918
Half-life:
8 days
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