Caracas Stock Exchange Stock Market Index MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
31.68%
1 Week
38.62%
1 Month
43.92%
Analysis last updated: Thursday, October 22, 2026 at 05:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 25, 2015 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 158% 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
| Param | Value | t-stat |
|---|---|---|
| mwindow | 26 | |
| αARCH | 0.6868 | 6.73*** |
| βGARCH | 0.1759 | 4.47*** |
| γleverage | -0.4204 | -3.23*** |
| λ₁tau intercept | 0.0164 | 0.99 |
| λ₂forecast adj. | 0.0070 | 3.05*** |
| λ₃tau persistence | 0.9909 | 369.32*** |
0.653
Persistence2d
Half-lifeMF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.6868 | 6.73*** |
β GARCH Volatility persistence | 0.1759 | 4.47*** |
γ leverage Additional response to negative shocks | -0.4204 | -3.23*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0164 | 0.99 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0070 | 3.05*** |
λ₃ tau persistence Long-term factor persistence | 0.9909 | 369.32*** |
Persistence:
0.653
Half-life:
2 days
Other Caracas Stock Exchange Stock Market Index Analyses
Other MF2-GARCH Analyses on Equity Indices