V-Lab
Vietnam Electricity MF2-GARCH Volatility Analysis
Volatility prediction for Monday, June 29th, 2026
1 Day
55.45%
1 Week
55.24%
1 Month
54.90%
Analysis last updated: Sunday, June 28, 2026 at 02:53 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 15, 2024 to Jun 26, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 88% 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
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 36 | |
α ARCH Response to squared shocks | 0.5235 | 21.90*** |
β GARCH Volatility persistence | 0.3792 | 16.56*** |
γ leverage Additional response to negative shocks | -0.2450 | -8.55*** |
λ₁ tau intercept Baseline long-term coefficient | 0.4774 | 0.53 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0154 | 0.50 |
λ₃ tau persistence Long-term factor persistence | 0.9401 | 7.86*** |
Persistence:
0.780
Half-life:
3 days
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