V-Lab
Taiwan Semiconductor Mfg Co MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
32.82%
decreased by 0.18%
1 Week
33.23%
increased by 0.23%
1 Month
34.83%
increased by 1.83%
Analysis last updated: Tuesday, August 25, 2026 at 08:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 1995 to Aug 21, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 134% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 96 | |
α ARCH Response to squared shocks | 0.0406 | 21.13*** |
β GARCH Volatility persistence | 0.8736 | 250.88*** |
γ leverage Additional response to negative shocks | 0.0542 | 15.39*** |
λ₁ tau intercept Baseline long-term coefficient | 0.4254 | 5.59*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.7753 | 12.25*** |
λ₃ tau persistence Long-term factor persistence | 0.1283 | 1.65* |
Persistence:
0.941
Half-life:
11 days
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