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V-Lab

Blue Owl Capital Corp MF2-GARCH Volatility Analysis

Volatility prediction for Wednesday, August 26th, 2026

1 Day

18.90%

decreased by 0.64%

1 Week

20.82%

increased by 1.28%

1 Month

23.62%

increased by 4.08%

Analysis last updated: Tuesday, August 25, 2026 at 09:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Blue Owl Capital Corp MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jul 18, 2019 to Aug 21, 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

46
α

ARCH

Response to squared shocks

0.0182
4.12***
β

GARCH

Volatility persistence

0.6431
50.20***
γ

leverage

Additional response to negative shocks

0.3387
26.40***
λ₁

tau intercept

Baseline long-term coefficient

0.0679
2.03**
λ₂

forecast adj.

Forecast performance sensitivity

0.2133
3.95***
λ₃

tau persistence

Long-term factor persistence

0.7497
10.14***

Persistence:

0.831

Half-life:

4 days