V-Lab
Chandni Machines Private Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
58.98%
1 Week
71.78%
1 Month
85.69%
Analysis last updated: Sunday, July 26, 2026 at 12:57 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 8, 2019 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 55% 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 | 26 | |
α ARCH Response to squared shocks | 0.3296 | 29.05*** |
β GARCH Volatility persistence | 0.4692 | 29.13*** |
γ leverage Additional response to negative shocks | -0.1172 | -10.90*** |
λ₁ tau intercept Baseline long-term coefficient | 1.0953 | 3.38*** |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 34.17*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.740
Half-life:
2 days
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