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V-Lab

Rheinmetall AG MF2-GARCH Volatility Analysis

Volatility prediction for Tuesday, September 15th, 2026

1 Day

40.42%

decreased by 0.80%

1 Week

40.54%

decreased by 0.68%

1 Month

41.02%

decreased by 0.20%

Analysis last updated: Wednesday, September 16, 2026 at 08:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Rheinmetall AG MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 2, 2019 to Sep 14, 2026
Boundary Parameters

Model Insight

With persistence 0.995, volatility shocks have a half-life of 139 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

MF2-GARCH Model

Tap to view equation

High persistence: persistence 0.995, shock half-life ~139 days
ParamValuet-stat
mwindow21
αARCH0.0625
1.13
βGARCH0.9432
26.95***
γleverage-0.0213
-0.46
λ₁tau intercept10.0000
1.28
λ₂forecast adj.0.0000
0.00
λ₃tau persistence0.0489
0.04

0.995

Persistence

139d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

21
α

ARCH

Response to squared shocks

0.0625
1.13
β

GARCH

Volatility persistence

0.9432
26.95***
γ

leverage

Additional response to negative shocks

-0.0213
-0.46
λ₁

tau intercept

Baseline long-term coefficient

10.0000
1.28
λ₂

forecast adj.

Forecast performance sensitivity

0.0000
0.00
λ₃

tau persistence

Long-term factor persistence

0.0489
0.04

Persistence:

0.995

Half-life:

139 days