V-Lab
Inmocemento S A MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
24.23%
1 Week
27.46%
1 Month
28.85%
Analysis last updated: Sunday, August 23, 2026 at 01:43 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 12, 2024 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 101% 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 | 116 | |
α ARCH Response to squared shocks | 0.3327 | 16.51*** |
β GARCH Volatility persistence | 0.2423 | 11.03*** |
γ leverage Additional response to negative shocks | -0.1673 | -6.64*** |
λ₁ tau intercept Baseline long-term coefficient | 3.4029 | 0.45 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.491
Half-life:
1 days
Other Inmocemento S A Analyses
Other MF2-GARCH Analyses on International Equities