Egyptian Financial Group Hermes Stock Market Index MF2-GARCH Volatility Analysis
Volatility prediction for Sunday, July 12th, 2026
1 Day
17.35%
decreased by 1.08%
1 Week
17.73%
decreased by 0.70%
1 Month
19.04%
increased by 0.61%
Analysis last updated: Friday, July 10, 2026 at 08:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1995 to Jul 9, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 87% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 61 | |
α ARCH Response to squared shocks | 0.0980 | 14.89*** |
β GARCH Volatility persistence | 0.7084 | 42.46*** |
γ leverage Additional response to negative shocks | 0.0849 | 11.54*** |
λ₁ tau intercept Baseline long-term coefficient | 0.4398 | 1.14 |
λ₂ forecast adj. Forecast performance sensitivity | 0.8078 | 1.02 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.849
Half-life:
4 days
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