V-Lab
Varopakorn Co MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
36.27%
1 Week
42.35%
1 Month
53.16%
Analysis last updated: Friday, July 24, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 1992 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 31% 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 | 21 | |
α ARCH Response to squared shocks | 0.1884 | 22.73*** |
β GARCH Volatility persistence | 0.5028 | 10.54*** |
γ leverage Additional response to negative shocks | -0.0442 | -3.21*** |
λ₁ tau intercept Baseline long-term coefficient | 3.6085 | 0.55 |
λ₂ forecast adj. Forecast performance sensitivity | 0.3183 | 0.49 |
λ₃ tau persistence Long-term factor persistence | 0.4848 | 0.47 |
Persistence:
0.669
Half-life:
2 days
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