V-Lab
Cargills Ceylon PLC MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
21.02%
1 Week
23.78%
1 Month
24.49%
Analysis last updated: Tuesday, August 25, 2026 at 08:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 31, 1994 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 | 106 | |
α ARCH Response to squared shocks | 0.2899 | 28.19*** |
β GARCH Volatility persistence | 0.3123 | 19.04*** |
γ leverage Additional response to negative shocks | -0.1244 | -8.43*** |
λ₁ tau intercept Baseline long-term coefficient | 0.7576 | 1.73* |
λ₂ forecast adj. Forecast performance sensitivity | 0.7962 | 2.41** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.540
Half-life:
1 days
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