V-Lab
NBI Canadian Core Plus Bond Fund MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
5.69%
unchanged at 0.00%
1 Week
5.37%
decreased by 0.32%
1 Month
5.28%
decreased by 0.41%
Analysis last updated: Tuesday, July 28, 2026 at 09:22 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 22, 2025 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.5000 | 59.73*** |
β GARCH Volatility persistence | 0.0000 | 0.00 |
γ leverage Additional response to negative shocks | -0.5000 | -48.31*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1087 | 0.81 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0050 | 0.00 |
Persistence:
0.250
Half-life:
1 days
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