V-Lab
IMV Inc. MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
1,611.98%
1 Week
1,535.91%
1 Month
1,423.46%
Analysis last updated: Saturday, July 25, 2026 at 09:27 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 12, 2009 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 168% 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 | 0.1240 | 9.86*** |
β GARCH Volatility persistence | 0.7318 | 17.83*** |
γ leverage Additional response to negative shocks | -0.0776 | -4.36*** |
λ₁ tau intercept Baseline long-term coefficient | 4.3971 | 1.17 |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 4.55*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.817
Half-life:
3 days
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