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Russell 1000 Growth Index MF2-GARCH Volatility Analysis

Volatility prediction for Friday, September 11th, 2026

1 Day

16.27%

increased by 1.03%

1 Week

16.57%

increased by 1.33%

1 Month

17.48%

increased by 2.24%

Analysis last updated: Friday, September 11, 2026 at 09:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Russell 1000 Growth Index MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

May 12, 2000 to Sep 4, 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

Leverage: volatility responds almost entirely to negative shocks
ParamValuet-stat
mwindow61
αARCH0.0000
0.00
βGARCH0.8489
68.29***
γleverage0.1913
11.47***
λ₁tau intercept0.0120
1.71*
λ₂forecast adj.0.0723
2.51**
λ₃tau persistence0.9180
28.73***

0.945

Persistence

12d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

61
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.8489
68.29***
γ

leverage

Additional response to negative shocks

0.1913
11.47***
λ₁

tau intercept

Baseline long-term coefficient

0.0120
1.71*
λ₂

forecast adj.

Forecast performance sensitivity

0.0723
2.51**
λ₃

tau persistence

Long-term factor persistence

0.9180
28.73***

Persistence:

0.945

Half-life:

12 days