V-Lab
XTB S A MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
62.96%
1 Week
62.40%
1 Month
61.44%
Analysis last updated: Saturday, August 22, 2026 at 07:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 4, 2021 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 255% 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 | 0.0463 | 4.53*** |
β GARCH Volatility persistence | 0.8602 | 31.10*** |
γ leverage Additional response to negative shocks | -0.0333 | -2.24** |
λ₁ tau intercept Baseline long-term coefficient | 0.0108 | 0.14 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0073 | 0.66 |
λ₃ tau persistence Long-term factor persistence | 0.9927 | 61.20*** |
Persistence:
0.890
Half-life:
6 days
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