V-Lab
Pakistan Intl Bulk Terminal MF2-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
46.56%
increased by 15.30%
1 Week
46.34%
increased by 15.08%
1 Month
45.21%
increased by 13.95%
Analysis last updated: Friday, September 11, 2026 at 08:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2014 to Sep 4, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 81% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 81% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 96 | |
| αARCH | 0.0647 | 4.56*** |
| βGARCH | 0.8394 | 28.38*** |
| γleverage | 0.0522 | 2.27** |
| λ₁tau intercept | 2.2195 | 1.80* |
| λ₂forecast adj. | 0.7103 | 3.47*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.930
Persistence10d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 96 | |
α ARCH Response to squared shocks | 0.0647 | 4.56*** |
β GARCH Volatility persistence | 0.8394 | 28.38*** |
γ leverage Additional response to negative shocks | 0.0522 | 2.27** |
λ₁ tau intercept Baseline long-term coefficient | 2.2195 | 1.80* |
λ₂ forecast adj. Forecast performance sensitivity | 0.7103 | 3.47*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.930
Half-life:
10 days
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