V-Lab
Sivers Semiconductors Ab MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
148.26%
1 Week
145.51%
1 Month
139.35%
Analysis last updated: Wednesday, August 5, 2026 at 08:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 17, 2014 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 51% 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
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.1025 | 11.61*** |
β GARCH Volatility persistence | 0.8482 | 57.60*** |
γ leverage Additional response to negative shocks | -0.0346 | -2.33** |
λ₁ tau intercept Baseline long-term coefficient | 0.2164 | 1.52 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0352 | 2.12** |
λ₃ tau persistence Long-term factor persistence | 0.9581 | 40.71*** |
Persistence:
0.933
Half-life:
10 days
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