Chemung Financial Corp MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
27.53%
1 Week
28.91%
1 Month
30.40%
Analysis last updated: Tuesday, July 21, 2026 at 09:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 1996 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 26% 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
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 36 | |
α ARCH Response to squared shocks | 0.1828 | 26.53*** |
β GARCH Volatility persistence | 0.6336 | 45.83*** |
γ leverage Additional response to negative shocks | -0.0373 | -3.35*** |
λ₁ tau intercept Baseline long-term coefficient | 1.4554 | 0.87 |
λ₂ forecast adj. Forecast performance sensitivity | 0.6509 | 0.83 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.798
Half-life:
3 days
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