V-Lab
Kcl Infra Project Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
38.13%
1 Week
39.85%
1 Month
43.41%
Analysis last updated: Wednesday, August 5, 2026 at 06:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 2009 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 23% 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 | 91 | |
α ARCH Response to squared shocks | 0.2048 | 26.40*** |
β GARCH Volatility persistence | 0.7248 | 95.25*** |
γ leverage Additional response to negative shocks | -0.0381 | -8.30*** |
λ₁ tau intercept Baseline long-term coefficient | 0.9745 | 1.08 |
λ₂ forecast adj. Forecast performance sensitivity | 0.8918 | 29.51*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.911
Half-life:
7 days
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