V-Lab
CarMax Inc MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
46.74%
1 Week
52.62%
1 Month
54.03%
Analysis last updated: Friday, July 24, 2026 at 10:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 4, 1997 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 23% 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 | 31 | |
α ARCH Response to squared shocks | 0.2589 | 18.86*** |
β GARCH Volatility persistence | 0.2582 | 10.47*** |
γ leverage Additional response to negative shocks | -0.0485 | -2.25** |
λ₁ tau intercept Baseline long-term coefficient | 0.0694 | 0.77 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0300 | 1.05 |
λ₃ tau persistence Long-term factor persistence | 0.9638 | 29.41*** |
Persistence:
0.493
Half-life:
1 days
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