Neuberger Flexible Credit Income ETF MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
3.42%
1 Week
3.62%
1 Month
3.66%
Analysis last updated: Monday, July 20, 2026 at 09:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 25, 2024 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 127% 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
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 121 | |
α ARCH Response to squared shocks | 0.1947 | 2.05** |
β GARCH Volatility persistence | 0.0000 | 0.00 |
γ leverage Additional response to negative shocks | -0.1091 | -2.47** |
λ₁ tau intercept Baseline long-term coefficient | 0.0536 | 0.04 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.140
Half-life:
0 days
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