V-Lab
Av-Gad Holdings Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Sunday, July 26th, 2026
1 Day
35.94%
1 Week
37.66%
1 Month
37.47%
Analysis last updated: Sunday, July 26, 2026 at 02:48 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 18, 2021 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 129% 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 | 76 | |
α ARCH Response to squared shocks | 0.1121 | 3.53*** |
β GARCH Volatility persistence | 0.5272 | 10.19*** |
γ leverage Additional response to negative shocks | -0.0632 | -2.38** |
λ₁ tau intercept Baseline long-term coefficient | 2.4348 | 0.05 |
λ₂ forecast adj. Forecast performance sensitivity | 0.4678 | 0.05 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.608
Half-life:
1 days
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