V-Lab
Trusval Technology MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
45.56%
1 Week
45.34%
1 Month
46.39%
Analysis last updated: Wednesday, August 5, 2026 at 08:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 23, 2017 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 30% 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 | 0.1900 | 18.00*** |
β GARCH Volatility persistence | 0.5837 | 19.87*** |
γ leverage Additional response to negative shocks | -0.0444 | -2.80*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2891 | 1.33 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0854 | 1.25 |
λ₃ tau persistence Long-term factor persistence | 0.8768 | 9.12*** |
Persistence:
0.751
Half-life:
2 days
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