US Dollar to British Pound MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
4.51%
1 Week
4.57%
1 Month
4.65%
Analysis last updated: Sunday, October 18, 2026 at 03:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 130% 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 | 0.0334 | 4.40*** |
| βGARCH | 0.9370 | 63.36*** |
| γleverage | -0.0189 | -1.99** |
| λ₁tau intercept | 0.0334 | 2.79*** |
| λ₂forecast adj. | 0.8182 | 6.15*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.961
Persistence17d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 106 | |
α ARCH Response to squared shocks | 0.0334 | 4.40*** |
β GARCH Volatility persistence | 0.9370 | 63.36*** |
γ leverage Additional response to negative shocks | -0.0189 | -1.99** |
λ₁ tau intercept Baseline long-term coefficient | 0.0334 | 2.79*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.8182 | 6.15*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.961
Half-life:
17 days
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