V-Lab
US Dollar to Chilean Peso MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
10.27%
1 Week
10.34%
1 Month
10.50%
Analysis last updated: Monday, September 28, 2026 at 07:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 1990 to Sep 25, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 178% 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
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.1490 | 6.72*** |
| βGARCH | 0.7258 | 20.52*** |
| γleverage | -0.0954 | -3.97*** |
| λ₁tau intercept | 0.0008 | 1.50 |
| λ₂forecast adj. | 0.0239 | 4.32*** |
| λ₃tau persistence | 0.9744 | 146.41*** |
0.827
Persistence4d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.1490 | 6.72*** |
β GARCH Volatility persistence | 0.7258 | 20.52*** |
γ leverage Additional response to negative shocks | -0.0954 | -3.97*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0008 | 1.50 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0239 | 4.32*** |
λ₃ tau persistence Long-term factor persistence | 0.9744 | 146.41*** |
Persistence:
0.827
Half-life:
4 days
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