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V-Lab

Travelzoo Inc MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

69.05%

decreased by 0.31%

1 Week

72.73%

increased by 3.37%

1 Month

77.09%

increased by 7.73%

Analysis last updated: Friday, August 7, 2026 at 10:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Travelzoo Inc MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Aug 29, 2002 to Aug 7, 2026

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 48% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

66
α

ARCH

Response to squared shocks

0.1525
19.61***
β

GARCH

Volatility persistence

0.5058
22.62***
γ

leverage

Additional response to negative shocks

-0.0495
-4.07***
λ₁

tau intercept

Baseline long-term coefficient

0.4951
0.62
λ₂

forecast adj.

Forecast performance sensitivity

0.0610
0.98
λ₃

tau persistence

Long-term factor persistence

0.9129
9.64***

Persistence:

0.634

Half-life:

2 days