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V-Lab

Bayer AG MF2-GARCH Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

42.57%

decreased by 1.42%

1 Week

43.42%

decreased by 0.57%

1 Month

46.25%

increased by 2.26%

Analysis last updated: Saturday, July 18, 2026 at 11:00 PM 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 17, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 254% 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

0.0388
14.03***
β

GARCH

Volatility persistence

0.8204
158.36***
γ

leverage

Additional response to negative shocks

0.0986
21.58***
λ₁

tau intercept

Baseline long-term coefficient

0.0076
2.63***
λ₂

forecast adj.

Forecast performance sensitivity

0.0157
4.66***
λ₃

tau persistence

Long-term factor persistence

0.9825
244.59***

Persistence:

0.909

Half-life:

7 days