NVIDIA Corp MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
42.44%
1 Week
43.17%
1 Month
45.90%
Analysis last updated: Tuesday, July 21, 2026 at 09:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 22, 1999 to Jul 17, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 141 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 186% more than positive returns
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.0381 | 12.16*** |
β GARCH Volatility persistence | 0.9215 | 249.66*** |
γ leverage Additional response to negative shocks | 0.0710 | 13.00*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.19 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.6943 | 0.42 |
Persistence:
0.995
Half-life:
141 days
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