V-Lab
Vinacomin Vang Danh Coal MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
26.87%
1 Week
28.32%
1 Month
29.27%
Analysis last updated: Sunday, August 23, 2026 at 03:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 10, 2011 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 54% 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 | 0.1636 | 21.58*** |
β GARCH Volatility persistence | 0.6196 | 37.59*** |
γ leverage Additional response to negative shocks | -0.0571 | -5.55*** |
λ₁ tau intercept Baseline long-term coefficient | 1.0405 | 2.25** |
λ₂ forecast adj. Forecast performance sensitivity | 0.8790 | 11.13*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.755
Half-life:
2 days
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