MSCI COLCAP Index EGARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
15.89%
increased by 0.09%
1 Week
16.06%
increased by 0.26%
1 Month
16.58%
increased by 0.78%
Analysis last updated: Friday, October 30, 2026 at 06:36 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2008 to Oct 22, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 64% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 64% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0116 | 1.58 |
| αARCH | 0.2889 | 10.48*** |
| βGARCH | 0.9470 | 111.45*** |
| γleverage | -0.0704 | -2.94*** |
0.947
Persistence13d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0116 | 1.58 |
α ARCH Response to squared shocks | 0.2889 | 10.48*** |
β GARCH Volatility persistence | 0.9470 | 111.45*** |
γ leverage Additional response to negative shocks | -0.0704 | -2.94*** |
Persistence:
0.947
Half-life:
13 days
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