Camtek Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
66.48%
1 Week
65.35%
1 Month
62.63%
Analysis last updated: Tuesday, July 14, 2026 at 07:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 2006 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 44% 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
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 91 | |
α ARCH Response to squared shocks | 0.0738 | 15.55*** |
β GARCH Volatility persistence | 0.8627 | 86.05*** |
γ leverage Additional response to negative shocks | -0.0227 | -4.39*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1037 | 1.72* |
λ₂ forecast adj. Forecast performance sensitivity | 0.0227 | 1.98** |
λ₃ tau persistence Long-term factor persistence | 0.9646 | 53.63*** |
Persistence:
0.925
Half-life:
9 days
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