V-Lab
Havila Kystruten As MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
41.58%
1 Week
57.61%
1 Month
72.03%
Analysis last updated: Thursday, August 6, 2026 at 08:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 3, 2021 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 167% 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 | 0.6540 | 26.13*** |
β GARCH Volatility persistence | 0.0045 | 0.38 |
γ leverage Additional response to negative shocks | -0.4086 | -10.64*** |
λ₁ tau intercept Baseline long-term coefficient | 5.6343 | 0.81 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7856 | 3.01*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.454
Half-life:
1 days
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