Ghana Stock Exchange Composite Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
10.54%
1 Week
11.73%
1 Month
12.41%
Analysis last updated: Friday, July 10, 2026 at 08:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 2011 to Apr 30, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 90% 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
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.1886 | 18.78*** |
β GARCH Volatility persistence | 0.6941 | 43.02*** |
γ leverage Additional response to negative shocks | -0.0891 | -7.10*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2214 | 1.56 |
λ₂ forecast adj. Forecast performance sensitivity | 0.6087 | 7.31*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.838
Half-life:
4 days
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