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V-Lab

Inversora Juramento Sa MF2-GARCH Volatility Analysis

Volatility prediction for Wednesday, August 26th, 2026

1 Day

34.50%

increased by 0.09%

1 Week

36.26%

increased by 1.85%

1 Month

39.46%

increased by 5.05%

Analysis last updated: Wednesday, August 26, 2026 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Inversora Juramento Sa MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

May 30, 2011 to Aug 21, 2026

Model Insight

This asset exhibits a modest leverage effect: negative returns increase next-day volatility 38% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

81
α

ARCH

Response to squared shocks

0.0694
9.96***
β

GARCH

Volatility persistence

0.7888
47.35***
γ

leverage

Additional response to negative shocks

0.0261
2.23**
λ₁

tau intercept

Baseline long-term coefficient

2.1655
0.14
λ₂

forecast adj.

Forecast performance sensitivity

0.7414
0.14
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

0.871

Half-life:

5 days