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V-Lab

Capgemini Se MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

34.53%

decreased by 0.50%

1 Week

34.83%

decreased by 0.20%

1 Month

35.61%

increased by 0.58%

Analysis last updated: Saturday, August 22, 2026 at 08:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Capgemini Se MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 16, 2004 to Aug 21, 2026

Model 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

ParameterValuet-statistic
m

window

Rolling window length

101
α

ARCH

Response to squared shocks

0.0000
0.01
β

GARCH

Volatility persistence

0.9265
226.80***
γ

leverage

Additional response to negative shocks

0.0714
23.02***
λ₁

tau intercept

Baseline long-term coefficient

0.0301
1.70*
λ₂

forecast adj.

Forecast performance sensitivity

0.0254
1.78*
λ₃

tau persistence

Long-term factor persistence

0.9670
52.24***

Persistence:

0.962

Half-life:

18 days