American Express Co MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
26.18%
decreased by 0.85%
1 Week
26.51%
decreased by 0.52%
1 Month
27.46%
increased by 0.43%
Analysis last updated: Tuesday, July 21, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 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 | 5.59*** |
β GARCH Volatility persistence | 0.8855 | 293.21*** |
γ leverage Additional response to negative shocks | 0.1368 | 38.53*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0108 | 7.74*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0271 | 6.67*** |
λ₃ tau persistence Long-term factor persistence | 0.9703 | 216.49*** |
Persistence:
0.962
Half-life:
18 days
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