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V-Lab

Liberty Defense Holdings Ltd MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

158.88%

increased by 26.54%

1 Week

179.58%

increased by 47.24%

1 Month

225.94%

increased by 93.60%

Analysis last updated: Friday, August 21, 2026 at 09:44 PM UTC

Date Range:

from

to

6M ·

All

graph of Liberty Defense Holdings Ltd MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 22, 2026 to Aug 21, 2026
Boundary Parameters

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 100% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

21
α

ARCH

Response to squared shocks

1.0000
132.68***
β

GARCH

Volatility persistence

0.0000
0.03
γ

leverage

Additional response to negative shocks

-0.5000
-55.72***
λ₁

tau intercept

Baseline long-term coefficient

5.4843
4.44***
λ₂

forecast adj.

Forecast performance sensitivity

0.1087
0.48
λ₃

tau persistence

Long-term factor persistence

0.8913
10.27***

Persistence:

0.750

Half-life:

2 days