V-Lab
US Dollar to Colombian Peso MF2-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
13.48%
1 Week
13.79%
1 Month
14.42%
Analysis last updated: Friday, September 11, 2026 at 08:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 18, 1994 to Sep 11, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 117% 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 | 106 | |
| αARCH | 0.1274 | 8.70*** |
| βGARCH | 0.8369 | 51.48*** |
| γleverage | -0.0686 | -3.55*** |
| λ₁tau intercept | 0.0135 | 2.64*** |
| λ₂forecast adj. | 1.0000 | 34.32*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.930
Persistence10d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 106 | |
α ARCH Response to squared shocks | 0.1274 | 8.70*** |
β GARCH Volatility persistence | 0.8369 | 51.48*** |
γ leverage Additional response to negative shocks | -0.0686 | -3.55*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0135 | 2.64*** |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 34.32*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.930
Half-life:
10 days
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