V-Lab
Royal Orchid Hotels Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
31.01%
1 Week
32.98%
1 Month
37.44%
Analysis last updated: Sunday, July 26, 2026 at 02:12 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 22, 2006 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 21% 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 | 126 | |
α ARCH Response to squared shocks | 0.1048 | 25.80*** |
β GARCH Volatility persistence | 0.8293 | 124.25*** |
γ leverage Additional response to negative shocks | -0.0183 | -2.82*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0339 | 3.27*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0282 | 6.59*** |
λ₃ tau persistence Long-term factor persistence | 0.9685 | 180.02*** |
Persistence:
0.925
Half-life:
9 days
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