V-Lab
NX Filtration N.V. MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 4th, 2026
1 Day
53.03%
1 Week
61.38%
1 Month
64.52%
Analysis last updated: Tuesday, August 4, 2026 at 06:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 2021 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 122% 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 | 41 | |
α ARCH Response to squared shocks | 0.3211 | 13.72*** |
β GARCH Volatility persistence | 0.4189 | 14.10*** |
γ leverage Additional response to negative shocks | -0.1764 | -4.89*** |
λ₁ tau intercept Baseline long-term coefficient | 0.4396 | 0.73 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1381 | 0.92 |
λ₃ tau persistence Long-term factor persistence | 0.8245 | 4.15*** |
Persistence:
0.652
Half-life:
2 days
Other NX Filtration N.V. Analyses
Other MF2-GARCH Analyses on International Equities