V-Lab
E.ON SE MF2-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
23.94%
increased by 3.60%
1 Week
23.99%
increased by 3.65%
1 Month
24.14%
increased by 3.80%
Analysis last updated: Saturday, September 19, 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 Sep 18, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 113% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 113% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 41 | |
| αARCH | 0.0646 | 5.33*** |
| βGARCH | 0.8031 | 43.56*** |
| γleverage | 0.0732 | 3.77*** |
| λ₁tau intercept | 0.0154 | 1.97** |
| λ₂forecast adj. | 0.0239 | 2.74*** |
| λ₃tau persistence | 0.9698 | 85.43*** |
0.904
Persistence7d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 41 | |
α ARCH Response to squared shocks | 0.0646 | 5.33*** |
β GARCH Volatility persistence | 0.8031 | 43.56*** |
γ leverage Additional response to negative shocks | 0.0732 | 3.77*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0154 | 1.97** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0239 | 2.74*** |
λ₃ tau persistence Long-term factor persistence | 0.9698 | 85.43*** |
Persistence:
0.904
Half-life:
7 days
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