V-Lab
Abans Finance PLC MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
55.21%
1 Week
54.65%
1 Month
57.90%
Analysis last updated: Sunday, August 23, 2026 at 12:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 5, 2011 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 75% 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 | 21 | |
α ARCH Response to squared shocks | 0.1589 | 4.94*** |
β GARCH Volatility persistence | 0.2825 | 4.50*** |
γ leverage Additional response to negative shocks | -0.0683 | -3.07*** |
λ₁ tau intercept Baseline long-term coefficient | 7.9780 | 0.30 |
λ₂ forecast adj. Forecast performance sensitivity | 0.5426 | 0.28 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.407
Half-life:
1 days
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