V-Lab
XTB S A MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
70.13%
1 Week
68.03%
1 Month
63.87%
Analysis last updated: Saturday, August 8, 2026 at 07:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 4, 2021 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 245% 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 | 116 | |
α ARCH Response to squared shocks | 0.0474 | 4.35*** |
β GARCH Volatility persistence | 0.8520 | 27.65*** |
γ leverage Additional response to negative shocks | -0.0336 | -2.12** |
λ₁ tau intercept Baseline long-term coefficient | 0.0107 | 0.13 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0072 | 0.61 |
λ₃ tau persistence Long-term factor persistence | 0.9928 | 56.90*** |
Persistence:
0.883
Half-life:
6 days
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