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V-Lab

National Aerospace Fastener MF2-GARCH Volatility Analysis

Volatility prediction for Friday, August 7th, 2026

1 Day

58.22%

decreased by 5.31%

1 Week

57.82%

decreased by 5.71%

1 Month

57.74%

decreased by 5.79%

Analysis last updated: Friday, August 7, 2026 at 08:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of National Aerospace Fastener MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jun 18, 2002 to Jul 31, 2026

Model Insight

Volatility shocks decay with a half-life of 5 trading days, meaning a shock loses half its impact after approximately 5 days.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

46
α

ARCH

Response to squared shocks

0.1382
25.91***
β

GARCH

Volatility persistence

0.7462
65.20***
γ

leverage

Additional response to negative shocks

-0.0079
-1.25
λ₁

tau intercept

Baseline long-term coefficient

0.0608
3.60***
λ₂

forecast adj.

Forecast performance sensitivity

0.0436
3.17***
λ₃

tau persistence

Long-term factor persistence

0.9486
60.05***

Persistence:

0.880

Half-life:

5 days