V-Lab
Red Sea Housing Services MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
32.69%
1 Week
34.30%
1 Month
38.45%
Analysis last updated: Tuesday, August 25, 2026 at 08:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 2007 to Aug 20, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 25% 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 | 61 | |
α ARCH Response to squared shocks | 0.1157 | 19.12*** |
β GARCH Volatility persistence | 0.7935 | 82.51*** |
γ leverage Additional response to negative shocks | -0.0230 | -2.81*** |
λ₁ tau intercept Baseline long-term coefficient | 1.9453 | 1.14 |
λ₂ forecast adj. Forecast performance sensitivity | 0.6098 | 1.25 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.898
Half-life:
6 days
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