V-Lab
Jinbei Automotive Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
33.05%
1 Week
35.06%
1 Month
37.89%
Analysis last updated: Tuesday, August 25, 2026 at 06:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 24, 1992 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 40% 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 | 26 | |
α ARCH Response to squared shocks | 0.1774 | 31.74*** |
β GARCH Volatility persistence | 0.6428 | 45.12*** |
γ leverage Additional response to negative shocks | -0.0508 | -6.44*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2001 | 2.98*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0385 | 3.09*** |
λ₃ tau persistence Long-term factor persistence | 0.9391 | 50.60*** |
Persistence:
0.795
Half-life:
3 days
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