V-Lab
Ghana Stock Exchange Composite Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
8.83%
1 Week
9.36%
1 Month
10.34%
Analysis last updated: Saturday, September 12, 2026 at 12:52 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 2011 to Sep 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 92% 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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| Param | Value | t-stat |
|---|---|---|
| mwindow | 81 | |
| αARCH | 0.1813 | 4.66*** |
| βGARCH | 0.7146 | 14.64*** |
| γleverage | -0.0870 | -2.07** |
| λ₁tau intercept | 0.2350 | 2.08** |
| λ₂forecast adj. | 0.5663 | 2.45** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.852
Persistence4d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.1813 | 4.66*** |
β GARCH Volatility persistence | 0.7146 | 14.64*** |
γ leverage Additional response to negative shocks | -0.0870 | -2.07** |
λ₁ tau intercept Baseline long-term coefficient | 0.2350 | 2.08** |
λ₂ forecast adj. Forecast performance sensitivity | 0.5663 | 2.45** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.852
Half-life:
4 days
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