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V-Lab

CRA International Inc MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

46.22%

increased by 9.01%

1 Week

43.91%

increased by 6.70%

1 Month

42.08%

increased by 4.87%

Analysis last updated: Friday, August 7, 2026 at 09:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of CRA International Inc MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 24, 1998 to Aug 7, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 120% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

46
α

ARCH

Response to squared shocks

0.0906
11.05***
β

GARCH

Volatility persistence

0.5351
30.97***
γ

leverage

Additional response to negative shocks

0.1082
8.52***
λ₁

tau intercept

Baseline long-term coefficient

0.0208
0.47
λ₂

forecast adj.

Forecast performance sensitivity

0.0080
0.95
λ₃

tau persistence

Long-term factor persistence

0.9893
74.33***

Persistence:

0.680

Half-life:

2 days