V-Lab
Caracas Stock Exchange Stock Market Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
71.56%
1 Week
59.64%
1 Month
48.73%
Analysis last updated: Saturday, September 19, 2026 at 05:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 25, 2015 to Sep 18, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 157% 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 | 26 | |
| αARCH | 0.6800 | 6.64*** |
| βGARCH | 0.1824 | 4.58*** |
| γleverage | -0.4158 | -3.22*** |
| λ₁tau intercept | 0.0158 | 0.96 |
| λ₂forecast adj. | 0.0070 | 3.04*** |
| λ₃tau persistence | 0.9908 | 366.57*** |
0.655
Persistence2d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.6800 | 6.64*** |
β GARCH Volatility persistence | 0.1824 | 4.58*** |
γ leverage Additional response to negative shocks | -0.4158 | -3.22*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0158 | 0.96 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0070 | 3.04*** |
λ₃ tau persistence Long-term factor persistence | 0.9908 | 366.57*** |
Persistence:
0.655
Half-life:
2 days
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