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V-Lab

Blue Owl Capital Corp MF2-GARCH Volatility Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Volatility prediction for Wednesday, August 12th, 2026

1 Day

18.32%

increased by 4.50%

1 Week

19,138,777,014,219.06%

increased by 19,138,777,014,205.24%

1 Month

278,015,985,151,933,300,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000.00%

increased by 278,015,985,151,933,300,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000.00%

Analysis last updated: Tuesday, August 11, 2026 at 10:23 PM UTC

Date Range:

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to

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1Y ·

2Y ·

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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 7, 2026

Model Insight

With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

61
α

ARCH

Response to squared shocks

0.9537
β

GARCH

Volatility persistence

0.0000
γ

leverage

Additional response to negative shocks

0.0926
λ₁

tau intercept

Baseline long-term coefficient

1.2858
91.81***
λ₂

forecast adj.

Forecast performance sensitivity

0.2843
305.72***
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

1.000

Half-life:

1386294 days