V-Lab
Camtek Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
66.13%
1 Week
65.27%
1 Month
63.34%
Analysis last updated: Tuesday, August 25, 2026 at 07:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 2006 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 45% 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 | 91 | |
α ARCH Response to squared shocks | 0.0736 | 15.48*** |
β GARCH Volatility persistence | 0.8630 | 85.82*** |
γ leverage Additional response to negative shocks | -0.0227 | -4.39*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1049 | 1.72* |
λ₂ forecast adj. Forecast performance sensitivity | 0.0235 | 1.98** |
λ₃ tau persistence Long-term factor persistence | 0.9638 | 52.17*** |
Persistence:
0.925
Half-life:
9 days
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