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V-Lab

Mondelez International Inc MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 17th, 2026

1 Day

20.62%

decreased by 0.70%

1 Week

21.20%

decreased by 0.12%

1 Month

22.35%

increased by 1.03%

Analysis last updated: Friday, August 14, 2026 at 09:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Mondelez International Inc MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jun 13, 2001 to Aug 14, 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

86
α

ARCH

Response to squared shocks

0.0142
6.07***
β

GARCH

Volatility persistence

0.7973
77.21***
γ

leverage

Additional response to negative shocks

0.1432
21.71***
λ₁

tau intercept

Baseline long-term coefficient

0.0233
1.33
λ₂

forecast adj.

Forecast performance sensitivity

0.0233
1.61
λ₃

tau persistence

Long-term factor persistence

0.9629
39.99***

Persistence:

0.883

Half-life:

6 days