Skip to main content
V-Lab
V-Lab

TD Active US HI Yild BND ETF MF2-GARCH Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

6.00%

increased by 0.43%

1 Week

6.03%

increased by 0.46%

1 Month

6.14%

increased by 0.57%

Analysis last updated: Saturday, September 19, 2026 at 09:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of TD Active US HI Yild BND ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 26, 2019 to Sep 18, 2026
Illiquid Asset
Stationarity Enforced

Model Insight

With persistence 0.995, volatility shocks have a half-life of 138 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: volatility responds almost entirely to negative shocks

σ

MF2-GARCH Model

Tap to view equation

High persistence: persistence 0.995, shock half-life ~138 daysLeverage: volatility responds almost entirely to negative shocks
ParamValuet-stat
mwindow41
αARCH0.0000
0.00
βGARCH0.9706
88.04***
γleverage0.0488
3.05***
λ₁tau intercept0.1429
1.15
λ₂forecast adj.0.1544
0.70
λ₃tau persistence0.0000
0.00

0.995

Persistence

138d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

41
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.9706
88.04***
γ

leverage

Additional response to negative shocks

0.0488
3.05***
λ₁

tau intercept

Baseline long-term coefficient

0.1429
1.15
λ₂

forecast adj.

Forecast performance sensitivity

0.1544
0.70
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

0.995

Half-life:

138 days