V-Lab
Sivers Semiconductors Ab MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
115.39%
1 Week
116.00%
1 Month
118.61%
Analysis last updated: Tuesday, August 25, 2026 at 08:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 17, 2014 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 49% 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 | 81 | |
α ARCH Response to squared shocks | 0.1016 | 11.65*** |
β GARCH Volatility persistence | 0.8492 | 59.03*** |
γ leverage Additional response to negative shocks | -0.0333 | -2.24** |
λ₁ tau intercept Baseline long-term coefficient | 0.2118 | 1.59 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0329 | 2.15** |
λ₃ tau persistence Long-term factor persistence | 0.9603 | 44.00*** |
Persistence:
0.934
Half-life:
10 days
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