V-Lab
Union Bank of the Philippines MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
20.53%
1 Week
22.54%
1 Month
27.43%
Analysis last updated: Friday, August 21, 2026 at 08:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1992 to Aug 20, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 22% 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 | 46 | |
α ARCH Response to squared shocks | 0.2715 | 34.48*** |
β GARCH Volatility persistence | 0.6781 | 89.21*** |
γ leverage Additional response to negative shocks | -0.0485 | -4.71*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0041 | 3.93*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0313 | 11.95*** |
λ₃ tau persistence Long-term factor persistence | 0.9687 | 339.29*** |
Persistence:
0.925
Half-life:
9 days
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