V-Lab
Cic Holdings Plc MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
29.83%
1 Week
33.02%
1 Month
33.70%
Analysis last updated: Sunday, July 26, 2026 at 05:32 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 18, 2008 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 169% 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 | 51 | |
α ARCH Response to squared shocks | 0.2427 | 15.46*** |
β GARCH Volatility persistence | 0.4759 | 12.91*** |
γ leverage Additional response to negative shocks | -0.1524 | -7.67*** |
λ₁ tau intercept Baseline long-term coefficient | 0.7376 | 0.53 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2580 | 0.56 |
λ₃ tau persistence Long-term factor persistence | 0.6272 | 0.92 |
Persistence:
0.642
Half-life:
2 days
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