V-Lab
Investeringsselskabet af 3. november 2025 A/S MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
63.65%
decreased by 0.79%
1 Week
68.10%
increased by 3.66%
1 Month
74.69%
increased by 10.25%
Analysis last updated: Saturday, July 25, 2026 at 11:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 21, 1991 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 4 trading days, meaning a shock loses half its impact after approximately 4 days.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 76 | |
α ARCH Response to squared shocks | 0.1807 | 9.21*** |
β GARCH Volatility persistence | 0.6557 | 27.95*** |
γ leverage Additional response to negative shocks | 0.0355 | 1.76* |
λ₁ tau intercept Baseline long-term coefficient | 0.2118 | 1.56 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0298 | 1.68* |
λ₃ tau persistence Long-term factor persistence | 0.9484 | 32.13*** |
Persistence:
0.854
Half-life:
4 days
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