V-Lab
Edip Gayrimenkul Yatirim MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
56.32%
1 Week
56.16%
1 Month
56.31%
Analysis last updated: Wednesday, August 26, 2026 at 09:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1994 to Aug 21, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.3548 | 32.94*** |
β GARCH Volatility persistence | 0.4465 | 41.55*** |
γ leverage Additional response to negative shocks | -0.1088 | -7.53*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0208 | 2.48** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0087 | 5.23*** |
λ₃ tau persistence Long-term factor persistence | 0.9897 | 519.52*** |
Persistence:
0.747
Half-life:
2 days
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