V-Lab
Inner Mongolia North Hauler JSC Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
43.91%
1 Week
44.84%
1 Month
45.97%
Analysis last updated: Saturday, August 22, 2026 at 06:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 2000 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 21% 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 | 111 | |
α ARCH Response to squared shocks | 0.1058 | 28.29*** |
β GARCH Volatility persistence | 0.8108 | 120.88*** |
γ leverage Additional response to negative shocks | -0.0181 | -4.12*** |
λ₁ tau intercept Baseline long-term coefficient | 2.4511 | 2.86*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.7033 | 3.06*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.908
Half-life:
7 days
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