V-Lab
Song Hong Aluminium Jsc MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
28.57%
1 Week
32.39%
1 Month
37.97%
Analysis last updated: Tuesday, August 25, 2026 at 08:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 6, 2018 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 29% 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 | 0.2076 | 24.13*** |
β GARCH Volatility persistence | 0.6863 | 54.28*** |
γ leverage Additional response to negative shocks | -0.0461 | -4.72*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0120 | 1.15 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0161 | 4.21*** |
λ₃ tau persistence Long-term factor persistence | 0.9827 | 226.90*** |
Persistence:
0.871
Half-life:
5 days
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