V-Lab
Phihong Technology MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
50.03%
increased by 0.66%
1 Week
52.14%
increased by 2.77%
1 Month
52.63%
increased by 3.26%
Analysis last updated: Sunday, July 26, 2026 at 05:42 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 2001 to Jul 24, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 38% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.1179 | 21.70*** |
β GARCH Volatility persistence | 0.5591 | 31.43*** |
γ leverage Additional response to negative shocks | 0.0444 | 6.78*** |
λ₁ tau intercept Baseline long-term coefficient | 0.3855 | 0.88 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1782 | 1.05 |
λ₃ tau persistence Long-term factor persistence | 0.7724 | 3.36*** |
Persistence:
0.699
Half-life:
2 days
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