V-Lab
Global Mofy AI Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
78.38%
decreased by 39.84%
1 Week
90.28%
decreased by 27.94%
1 Month
194.57%
increased by 76.35%
Analysis last updated: Tuesday, September 8, 2026 at 10:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 10, 2023 to Sep 4, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
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Leverage: volatility responds almost entirely to negative shocks
| Param | Value | t-stat |
|---|---|---|
| mwindow | 41 | |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9098 | 40.50*** |
| γleverage | 0.1311 | 3.58*** |
| λ₁tau intercept | 10.0000 | 1.48 |
| λ₂forecast adj. | 0.8166 | 5.12*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.975
Persistence28d
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 | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9098 | 40.50*** |
γ leverage Additional response to negative shocks | 0.1311 | 3.58*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 1.48 |
λ₂ forecast adj. Forecast performance sensitivity | 0.8166 | 5.12*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.975
Half-life:
28 days
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