V-Lab
PMV Pharmaceuticals Inc MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
66.86%
1 Week
67.28%
1 Month
69.81%
Analysis last updated: Friday, July 24, 2026 at 09:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 25, 2020 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 228% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.3468 | 19.76*** |
β GARCH Volatility persistence | 0.1971 | 4.72*** |
γ leverage Additional response to negative shocks | -0.2409 | -7.25*** |
λ₁ tau intercept Baseline long-term coefficient | 4.7463 | 0.36 |
λ₂ forecast adj. Forecast performance sensitivity | 0.8045 | 0.31 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.423
Half-life:
1 days
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