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V-Lab

CRA International Inc MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

36.41%

decreased by 0.74%

1 Week

38.68%

increased by 1.53%

1 Month

40.53%

increased by 3.38%

Analysis last updated: Friday, August 21, 2026 at 09:43 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 21, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 119% 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

0.0907
11.06***
β

GARCH

Volatility persistence

0.5349
30.95***
γ

leverage

Additional response to negative shocks

0.1077
8.49***
λ₁

tau intercept

Baseline long-term coefficient

0.0206
0.47
λ₂

forecast adj.

Forecast performance sensitivity

0.0080
0.95
λ₃

tau persistence

Long-term factor persistence

0.9893
74.86***

Persistence:

0.680

Half-life:

2 days