MBIA Inc AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, October 19th, 2026
1 Day
31.25%
1 Week
31.46%
1 Month
32.30%
Analysis last updated: Friday, October 16, 2026 at 11:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
Estimated persistence of 1.001 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Asymmetry: negative returns raise volatility more
AGARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.00 |
| αARCH | 0.0507 | 9.51*** |
| βGARCH | 0.9506 | 176.99*** |
| γleverage | 0.6512 | 3.23*** |
1.001
Persistence-
Half-lifeAGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0507 | 9.51*** |
β GARCH Volatility persistence | 0.9506 | 176.99*** |
γ leverage Additional response to negative shocks | 0.6512 | 3.23*** |
Persistence:
1.001
Half-life:
-
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