V-Lab
Seshasayee Paper&B MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
47.77%
1 Week
42.98%
1 Month
44.09%
Analysis last updated: Friday, July 24, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 26, 1995 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 151% 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 | 0.2414 | 8.76*** |
β GARCH Volatility persistence | 0.1676 | 4.80*** |
γ leverage Additional response to negative shocks | -0.1453 | -4.94*** |
λ₁ tau intercept Baseline long-term coefficient | 2.1296 | 0.56 |
λ₂ forecast adj. Forecast performance sensitivity | 0.4686 | 0.56 |
λ₃ tau persistence Long-term factor persistence | 0.3316 | 0.28 |
Persistence:
0.336
Half-life:
1 days
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