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V-Lab

Monarch Blue Chips Elite Index ETF MF2-GARCH Volatility Analysis

Volatility prediction for Friday, August 14th, 2026

1 Day

21.52%

decreased by 0.95%

1 Week

22.45%

decreased by 0.02%

1 Month

24.94%

increased by 2.47%

Analysis last updated: Friday, August 14, 2026 at 02:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Monarch Blue Chips Elite Index ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 24, 2021 to Aug 7, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

26
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.8105
71.41***
γ

leverage

Additional response to negative shocks

0.2288
20.32***
λ₁

tau intercept

Baseline long-term coefficient

0.0252
3.02***
λ₂

forecast adj.

Forecast performance sensitivity

0.1028
3.83***
λ₃

tau persistence

Long-term factor persistence

0.8789
27.07***

Persistence:

0.925

Half-life:

9 days