V-Lab
Havila Kystruten As MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, July 23rd, 2026
1 Day
35.21%
1 Week
49.19%
1 Month
60.70%
Analysis last updated: Thursday, July 23, 2026 at 07:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 3, 2021 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 180% 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 | 0.6776 | 26.52*** |
β GARCH Volatility persistence | 0.0073 | 0.63 |
γ leverage Additional response to negative shocks | -0.4353 | -11.21*** |
λ₁ tau intercept Baseline long-term coefficient | 5.5892 | 0.80 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7918 | 3.11*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.467
Half-life:
1 days
Other Havila Kystruten As Analyses
Other MF2-GARCH Analyses on International Equities