V-Lab
Nanjing Vazyme Biotech Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
75.42%
1 Week
73.89%
1 Month
68.32%
Analysis last updated: Wednesday, August 5, 2026 at 06:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2021 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 85% 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 | 46 | |
α ARCH Response to squared shocks | 0.1402 | 10.98*** |
β GARCH Volatility persistence | 0.8272 | 68.94*** |
γ leverage Additional response to negative shocks | -0.0643 | -4.54*** |
λ₁ tau intercept Baseline long-term coefficient | 5.2919 | 0.21 |
λ₂ forecast adj. Forecast performance sensitivity | 0.4146 | 0.20 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.935
Half-life:
10 days
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