Vinpearl JSC MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
26.49%
1 Week
31.03%
1 Month
37.04%
Analysis last updated: Tuesday, July 14, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 21, 2008 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 12% 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 | 26 | |
α ARCH Response to squared shocks | 0.3708 | 26.14*** |
β GARCH Volatility persistence | 0.4467 | 15.94*** |
γ leverage Additional response to negative shocks | -0.0383 | -3.29*** |
λ₁ tau intercept Baseline long-term coefficient | 0.5074 | 1.89* |
λ₂ forecast adj. Forecast performance sensitivity | 0.1519 | 1.54 |
λ₃ tau persistence Long-term factor persistence | 0.7846 | 6.07*** |
Persistence:
0.798
Half-life:
3 days
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