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V-Lab

Bayer AG MF2-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

40.03%

decreased by 1.20%

1 Week

41.45%

increased by 0.22%

1 Month

45.46%

increased by 4.23%

Analysis last updated: Sunday, July 26, 2026 at 12:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Bayer AG MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 24, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 253% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

51
α

ARCH

Response to squared shocks

0.0390
14.06***
β

GARCH

Volatility persistence

0.8199
157.74***
γ

leverage

Additional response to negative shocks

0.0986
21.56***
λ₁

tau intercept

Baseline long-term coefficient

0.0077
2.63***
λ₂

forecast adj.

Forecast performance sensitivity

0.0157
4.65***
λ₃

tau persistence

Long-term factor persistence

0.9825
244.47***

Persistence:

0.908

Half-life:

7 days