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V-Lab

Capgemini Se MF2-GARCH Volatility Analysis

Volatility prediction for Friday, August 14th, 2026

1 Day

37.65%

decreased by 0.68%

1 Week

37.75%

decreased by 0.58%

1 Month

38.13%

decreased by 0.20%

Analysis last updated: Friday, August 14, 2026 at 06:44 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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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 7, 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

0.9256
224.12***
γ

leverage

Additional response to negative shocks

0.0716
22.93***
λ₁

tau intercept

Baseline long-term coefficient

0.0309
1.69*
λ₂

forecast adj.

Forecast performance sensitivity

0.0268
1.77*
λ₃

tau persistence

Long-term factor persistence

0.9653
49.40***

Persistence:

0.961

Half-life:

18 days