V-Lab
Ambica Agarb & Aroma Ind MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
39.66%
1 Week
40.39%
1 Month
42.96%
Analysis last updated: Wednesday, August 26, 2026 at 08:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 4, 2011 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 175% 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 | 31 | |
α ARCH Response to squared shocks | 0.4271 | 11.81*** |
β GARCH Volatility persistence | 0.0568 | 3.21*** |
γ leverage Additional response to negative shocks | -0.2720 | -6.57*** |
λ₁ tau intercept Baseline long-term coefficient | 1.6441 | 0.39 |
λ₂ forecast adj. Forecast performance sensitivity | 0.4260 | 0.41 |
λ₃ tau persistence Long-term factor persistence | 0.4710 | 0.36 |
Persistence:
0.348
Half-life:
1 days
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