V-Lab
Seshasayee Paper&B MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
33.55%
1 Week
36.99%
1 Month
39.52%
Analysis last updated: Tuesday, August 25, 2026 at 07:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 26, 1995 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 150% 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 | 0.2397 | 8.73*** |
β GARCH Volatility persistence | 0.1711 | 4.85*** |
γ leverage Additional response to negative shocks | -0.1437 | -4.90*** |
λ₁ tau intercept Baseline long-term coefficient | 2.1194 | 0.56 |
λ₂ forecast adj. Forecast performance sensitivity | 0.4683 | 0.56 |
λ₃ tau persistence Long-term factor persistence | 0.3320 | 0.28 |
Persistence:
0.339
Half-life:
1 days
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