V-Lab
G K P Printing & Packaging MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
42.95%
1 Week
48.29%
1 Month
66.01%
Analysis last updated: Sunday, July 26, 2026 at 12:58 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 8, 2019 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 129% 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 | 0.1641 | 10.11*** |
β GARCH Volatility persistence | 0.7385 | 15.43*** |
γ leverage Additional response to negative shocks | -0.0925 | -5.63*** |
λ₁ tau intercept Baseline long-term coefficient | 4.9624 | 0.64 |
λ₂ forecast adj. Forecast performance sensitivity | 0.5422 | 0.46 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.856
Half-life:
4 days
Other G K P Printing & Packaging Analyses
Other MF2-GARCH Analyses on International Equities