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V-Lab

Epsilon Energy Ltd. MF2-GARCH Volatility Analysis

Volatility prediction for Wednesday, August 26th, 2026

1 Day

43.68%

increased by 7.89%

1 Week

44.68%

increased by 8.89%

1 Month

45.84%

increased by 10.05%

Analysis last updated: Tuesday, August 25, 2026 at 09:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Epsilon Energy Ltd. MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 12, 2013 to Aug 21, 2026

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 81% 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

121
α

ARCH

Response to squared shocks

0.2692
16.56***
β

GARCH

Volatility persistence

0.5186
30.29***
γ

leverage

Additional response to negative shocks

-0.1202
-4.94***
λ₁

tau intercept

Baseline long-term coefficient

3.3766
0.68
λ₂

forecast adj.

Forecast performance sensitivity

0.5748
0.67
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

0.728

Half-life:

2 days