MBIA Inc EGARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
36.25%
decreased by 0.98%
1 Week
36.56%
decreased by 0.67%
1 Month
37.81%
increased by 0.58%
Analysis last updated: Friday, October 16, 2026 at 11:24 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 244 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 213% more than positive returns
σ
EGARCH Model
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High persistence: persistence 0.997, shock half-life ~244 daysLeverage: Negative returns increase volatility 213% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0131 | 1.52 |
| αARCH | 0.0872 | 5.74*** |
| βGARCH | 0.9972 | 472.81*** |
| γleverage | -0.0450 | -3.94*** |
0.997
Persistence244d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0131 | 1.52 |
α ARCH Response to squared shocks | 0.0872 | 5.74*** |
β GARCH Volatility persistence | 0.9972 | 472.81*** |
γ leverage Additional response to negative shocks | -0.0450 | -3.94*** |
Persistence:
0.997
Half-life:
244 days
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