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V-Lab

Unicap Modaraba MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 17th, 2026

1 Day

68.95%

decreased by 0.23%

1 Week

75.60%

increased by 6.42%

1 Month

83.79%

increased by 14.61%

Analysis last updated: Friday, August 14, 2026 at 07:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Unicap Modaraba MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 27, 2012 to Aug 13, 2026
Illiquid Asset

Model 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.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

31
α

ARCH

Response to squared shocks

0.1540
16.44***
β

GARCH

Volatility persistence

0.6791
30.98***
γ

leverage

Additional response to negative shocks

-0.0385
-2.74***
λ₁

tau intercept

Baseline long-term coefficient

0.0924
0.74
λ₂

forecast adj.

Forecast performance sensitivity

0.0106
2.33**
λ₃

tau persistence

Long-term factor persistence

0.9879
174.63***

Persistence:

0.814

Half-life:

3 days