V-Lab
PMA Graphene Technology Group Inc MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
121.68%
1 Week
129.83%
1 Month
131.83%
Analysis last updated: Friday, October 2, 2026 at 10:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 22, 2024 to Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 179% 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
| Param | Value | t-stat |
|---|---|---|
| mwindow | 76 | |
| αARCH | 0.2993 | 4.60*** |
| βGARCH | 0.0000 | 0.00 |
| γleverage | -0.1919 | -2.73*** |
| λ₁tau intercept | 10.0000 | 0.38 |
| λ₂forecast adj. | 0.0000 | 0.00 |
| λ₃tau persistence | 0.8563 | 2.44** |
0.203
Persistence0d
Half-lifeMF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 76 | |
α ARCH Response to squared shocks | 0.2993 | 4.60*** |
β GARCH Volatility persistence | 0.0000 | 0.00 |
γ leverage Additional response to negative shocks | -0.1919 | -2.73*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.38 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.8563 | 2.44** |
Persistence:
0.203
Half-life:
0 days
Other PMA Graphene Technology Group Inc Analyses
Other MF2-GARCH Analyses on Equities