V-Lab
Kcl Infra Project Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
63.61%
1 Week
62.05%
1 Month
61.04%
Analysis last updated: Tuesday, August 25, 2026 at 06:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 2009 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 26% 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 | 0.2047 | 27.23*** |
β GARCH Volatility persistence | 0.7335 | 101.60*** |
γ leverage Additional response to negative shocks | -0.0428 | -9.34*** |
λ₁ tau intercept Baseline long-term coefficient | 1.0154 | 1.11 |
λ₂ forecast adj. Forecast performance sensitivity | 0.8991 | 25.48*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.917
Half-life:
8 days
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