V-Lab
IMV Inc. MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, August 13th, 2026
1 Day
3,234.95%
1 Week
3,023.92%
1 Month
2,460.88%
Analysis last updated: Thursday, August 13, 2026 at 09:10 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 12, 2009 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 179% 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 | 101 | |
α ARCH Response to squared shocks | 0.1080 | 7.30*** |
β GARCH Volatility persistence | 0.8075 | 24.80*** |
γ leverage Additional response to negative shocks | -0.0693 | -4.18*** |
λ₁ tau intercept Baseline long-term coefficient | 4.8365 | 1.35 |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 7.05*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.881
Half-life:
5 days
Other MF2-GARCH Analyses on Equities