V-Lab
Polaris Group MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
45.76%
1 Week
49.10%
1 Month
55.03%
Analysis last updated: Sunday, July 26, 2026 at 05:50 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 15, 2016 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 78% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 51 | |
α ARCH Response to squared shocks | 0.1939 | 16.74*** |
β GARCH Volatility persistence | 0.7017 | 24.84*** |
γ leverage Additional response to negative shocks | -0.0851 | -5.56*** |
λ₁ tau intercept Baseline long-term coefficient | 1.5289 | 0.54 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1097 | 0.55 |
λ₃ tau persistence Long-term factor persistence | 0.7822 | 1.98** |
Persistence:
0.853
Half-life:
4 days
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