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Pakistan Intl Bulk Terminal MF2-GARCH Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

40.79%

increased by 1.19%

1 Week

41.18%

increased by 1.58%

1 Month

41.24%

increased by 1.64%

Analysis last updated: Sunday, September 20, 2026 at 02:44 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Pakistan Intl Bulk Terminal MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 16, 2014 to Sep 18, 2026

Model Insight

This asset exhibits a notable leverage effect: negative returns increase next-day volatility 80% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 80% more than positive returns
ParamValuet-stat
mwindow96
αARCH0.0646
4.53***
βGARCH0.8380
27.78***
γleverage0.0518
2.27**
λ₁tau intercept2.2029
1.83*
λ₂forecast adj.0.7134
3.52***
λ₃tau persistence0.0000
0.00

0.928

Persistence

9d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

96
α

ARCH

Response to squared shocks

0.0646
4.53***
β

GARCH

Volatility persistence

0.8380
27.78***
γ

leverage

Additional response to negative shocks

0.0518
2.27**
λ₁

tau intercept

Baseline long-term coefficient

2.2029
1.83*
λ₂

forecast adj.

Forecast performance sensitivity

0.7134
3.52***
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

0.928

Half-life:

9 days