V-Lab
Dow Jones Euro Stoxx Index MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
12.15%
decreased by 0.30%
1 Week
12.66%
increased by 0.21%
1 Month
13.87%
increased by 1.42%
Analysis last updated: Tuesday, August 25, 2026 at 06:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 21, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 36 | |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8460 | 269.44*** |
γ leverage Additional response to negative shocks | 0.1801 | 34.77*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0052 | 4.71*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0171 | 2.70*** |
λ₃ tau persistence Long-term factor persistence | 0.9784 | 130.83*** |
Persistence:
0.936
Half-life:
10 days
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