V-Lab
Russell 1000 Growth Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
14.40%
decreased by 0.47%
1 Week
14.95%
increased by 0.08%
1 Month
16.36%
increased by 1.49%
Analysis last updated: Saturday, September 19, 2026 at 08:56 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2000 to Sep 18, 2026Model 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
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Leverage: volatility responds almost entirely to negative shocks
| Param | Value | t-stat |
|---|---|---|
| mwindow | 61 | |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.8494 | 68.59*** |
| γleverage | 0.1910 | 11.50*** |
| λ₁tau intercept | 0.0118 | 1.71* |
| λ₂forecast adj. | 0.0701 | 2.47** |
| λ₃tau persistence | 0.9202 | 29.03*** |
0.945
Persistence12d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 61 | |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8494 | 68.59*** |
γ leverage Additional response to negative shocks | 0.1910 | 11.50*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0118 | 1.71* |
λ₂ forecast adj. Forecast performance sensitivity | 0.0701 | 2.47** |
λ₃ tau persistence Long-term factor persistence | 0.9202 | 29.03*** |
Persistence:
0.945
Half-life:
12 days
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