V-Lab
Unicap Modaraba MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
78.81%
1 Week
81.54%
1 Month
84.94%
Analysis last updated: Tuesday, August 25, 2026 at 08:00 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 27, 2012 to Aug 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 33% 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 | 31 | |
α ARCH Response to squared shocks | 0.1537 | 16.45*** |
β GARCH Volatility persistence | 0.6796 | 31.18*** |
γ leverage Additional response to negative shocks | -0.0379 | -2.71*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0882 | 0.72 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0106 | 2.35** |
λ₃ tau persistence Long-term factor persistence | 0.9879 | 176.82*** |
Persistence:
0.814
Half-life:
3 days
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