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V-Lab

Egyptian Financial Group Hermes Stock Market Index MF2-GARCH Volatility Analysis

Volatility prediction for Sunday, July 26th, 2026

1 Day

13.51%

decreased by 0.41%

1 Week

15.06%

increased by 1.14%

1 Month

17.42%

increased by 3.50%

Analysis last updated: Friday, July 24, 2026 at 11:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Egyptian Financial Group Hermes Stock Market Index MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1995 to Jul 23, 2026

Model 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

ParameterValuet-statistic
m

window

Rolling window length

61
α

ARCH

Response to squared shocks

0.0980
14.92***
β

GARCH

Volatility persistence

0.7077
42.48***
γ

leverage

Additional response to negative shocks

0.0851
11.56***
λ₁

tau intercept

Baseline long-term coefficient

0.4361
1.15
λ₂

forecast adj.

Forecast performance sensitivity

0.8091
1.02
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

0.848

Half-life:

4 days