V-Lab
Vinalink Intl Freight Forwar MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
14.46%
1 Week
15.35%
1 Month
16.82%
Analysis last updated: Tuesday, August 25, 2026 at 08:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 22, 2010 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 34% 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 | 86 | |
α ARCH Response to squared shocks | 0.1568 | 25.03*** |
β GARCH Volatility persistence | 0.7478 | 80.77*** |
γ leverage Additional response to negative shocks | -0.0394 | -4.96*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0019 | 0.60 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0313 | 7.33*** |
λ₃ tau persistence Long-term factor persistence | 0.9686 | 212.00*** |
Persistence:
0.885
Half-life:
6 days
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