V-Lab
Colombian Peso MF2-GARCH Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
19.03%
1 Week
18.59%
1 Month
17.82%
Analysis last updated: Friday, September 4, 2026 at 08:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 20, 1992 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 108% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.1662 | 8.72*** |
β GARCH Volatility persistence | 0.7643 | 30.35*** |
γ leverage Additional response to negative shocks | -0.0864 | -3.64*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0003 | 2.09** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0268 | 6.03*** |
λ₃ tau persistence Long-term factor persistence | 0.9732 | 224.65*** |
Persistence:
0.887
Half-life:
6 days
Other Colombian Peso Analyses
Other MF2-GARCH Analyses on Currencies