V-Lab
Shanghai Model Organisms Center Inc MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
118.03%
1 Week
114.85%
1 Month
102.37%
Analysis last updated: Saturday, August 22, 2026 at 07:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 28, 2021 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 247% 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 | 0.1364 | 17.88*** |
β GARCH Volatility persistence | 0.8565 | 89.35*** |
γ leverage Additional response to negative shocks | -0.0972 | -11.46*** |
λ₁ tau intercept Baseline long-term coefficient | 0.9858 | 6.89*** |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 19.78*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.944
Half-life:
12 days
Other Shanghai Model Organisms Center Inc Analyses
Other MF2-GARCH Analyses on International Equities