V-Lab
Millennium GP International Hlngs Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
78.53%
1 Week
109.15%
1 Month
270.33%
Analysis last updated: Monday, August 24, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 4, 2023 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 274% 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 | 0.6824 | 18.69*** |
β GARCH Volatility persistence | 0.2411 | 10.89*** |
γ leverage Additional response to negative shocks | -0.5000 | -10.90*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 1.16 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1904 | 1.08 |
λ₃ tau persistence Long-term factor persistence | 0.4757 | 1.04 |
Persistence:
0.674
Half-life:
2 days
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