V-Lab
Appian Corp MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
60.13%
1 Week
64.04%
1 Month
66.59%
Analysis last updated: Tuesday, August 25, 2026 at 09:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 25, 2017 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 94% 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 | 66 | |
α ARCH Response to squared shocks | 0.1602 | 15.21*** |
β GARCH Volatility persistence | 0.6461 | 24.93*** |
γ leverage Additional response to negative shocks | -0.0777 | -4.81*** |
λ₁ tau intercept Baseline long-term coefficient | 8.9194 | 0.14 |
λ₂ forecast adj. Forecast performance sensitivity | 0.4304 | 0.13 |
λ₃ tau persistence Long-term factor persistence | 0.0522 | 0.01 |
Persistence:
0.767
Half-life:
3 days
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