V-Lab
Securitize Corp MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
98.33%
1 Week
147.25%
1 Month
235.27%
Analysis last updated: Wednesday, August 5, 2026 at 09:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 2, 2025 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 72% 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 | 21 | |
α ARCH Response to squared shocks | 1.0000 | 14.14*** |
β GARCH Volatility persistence | 0.0785 | 3.53*** |
γ leverage Additional response to negative shocks | -0.4178 | -3.05*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 1.52 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2304 | 1.61 |
λ₃ tau persistence Long-term factor persistence | 0.7696 | 4.45*** |
Persistence:
0.870
Half-life:
5 days
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