Dana Brata Luhur Tbk PT MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
63.72%
1 Week
73.96%
1 Month
100.38%
Analysis last updated: Tuesday, July 14, 2026 at 08:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2019 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 339% 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 | 46 | |
α ARCH Response to squared shocks | 0.2875 | 16.53*** |
β GARCH Volatility persistence | 0.7159 | 31.17*** |
γ leverage Additional response to negative shocks | -0.2221 | -11.26*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2020 | 1.20 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2223 | 1.08 |
λ₃ tau persistence Long-term factor persistence | 0.7777 | 3.60*** |
Persistence:
0.892
Half-life:
6 days
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