V-Lab
Chilean Peso MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
10.67%
1 Week
10.54%
1 Month
10.55%
Analysis last updated: Friday, October 2, 2026 at 08:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 217% 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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| Param | Value | t-stat |
|---|---|---|
| mwindow | 71 | |
| αARCH | 0.1389 | 6.00*** |
| βGARCH | 0.7281 | 21.15*** |
| γleverage | -0.0951 | -3.99*** |
| λ₁tau intercept | 0.0312 | 3.38*** |
| λ₂forecast adj. | 0.9353 | 10.91*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.819
Persistence3d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 71 | |
α ARCH Response to squared shocks | 0.1389 | 6.00*** |
β GARCH Volatility persistence | 0.7281 | 21.15*** |
γ leverage Additional response to negative shocks | -0.0951 | -3.99*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0312 | 3.38*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.9353 | 10.91*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.819
Half-life:
3 days
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