V-Lab
COMSYS Holdings Corp MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
21.69%
decreased by 0.79%
1 Week
22.66%
increased by 0.18%
1 Month
24.71%
increased by 2.23%
Analysis last updated: Thursday, September 10, 2026 at 07:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 4, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 175% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 175% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 66 | |
| αARCH | 0.0586 | 4.63*** |
| βGARCH | 0.7922 | 29.88*** |
| γleverage | 0.1027 | 4.13*** |
| λ₁tau intercept | 0.0350 | 1.54 |
| λ₂forecast adj. | 0.0494 | 2.47** |
| λ₃tau persistence | 0.9429 | 40.07*** |
0.902
Persistence7d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 66 | |
α ARCH Response to squared shocks | 0.0586 | 4.63*** |
β GARCH Volatility persistence | 0.7922 | 29.88*** |
γ leverage Additional response to negative shocks | 0.1027 | 4.13*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0350 | 1.54 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0494 | 2.47** |
λ₃ tau persistence Long-term factor persistence | 0.9429 | 40.07*** |
Persistence:
0.902
Half-life:
7 days
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