V-Lab
Caracas Stock Exchange Stock Market Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
29.56%
1 Week
38.17%
1 Month
43.34%
Analysis last updated: Friday, August 7, 2026 at 05:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 25, 2015 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 159% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.6897 | 28.28*** |
β GARCH Volatility persistence | 0.1782 | 12.93*** |
γ leverage Additional response to negative shocks | -0.4232 | -6.78*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0161 | 1.35 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0070 | 2.26** |
λ₃ tau persistence Long-term factor persistence | 0.9908 | 350.49*** |
Persistence:
0.656
Half-life:
2 days
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