V-Lab
Blom Stock Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
19.22%
1 Week
21.69%
1 Month
26.29%
Analysis last updated: Friday, August 14, 2026 at 10:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 19, 1996 to Apr 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 40% 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 | 21 | |
α ARCH Response to squared shocks | 0.4155 | 31.27*** |
β GARCH Volatility persistence | 0.5207 | 44.36*** |
γ leverage Additional response to negative shocks | -0.1183 | -7.16*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0009 | 2.30** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0139 | 5.88*** |
λ₃ tau persistence Long-term factor persistence | 0.9861 | 375.22*** |
Persistence:
0.877
Half-life:
5 days
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