V-Lab
American Express Co MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
38.23%
increased by 9.84%
1 Week
37.79%
increased by 9.40%
1 Month
36.33%
increased by 7.94%
Analysis last updated: Friday, July 24, 2026 at 10:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 66 | |
α ARCH Response to squared shocks | 0.0082 | 5.57*** |
β GARCH Volatility persistence | 0.8854 | 293.07*** |
γ leverage Additional response to negative shocks | 0.1372 | 38.58*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0109 | 7.74*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0272 | 6.68*** |
λ₃ tau persistence Long-term factor persistence | 0.9703 | 216.39*** |
Persistence:
0.962
Half-life:
18 days
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