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V-Lab

TLT Percentage Price Volatility Index MF2-GARCH Volatility Analysis

Volatility prediction for Friday, July 24th, 2026

1 Day

74.79%

decreased by 14.10%

1 Week

79.11%

decreased by 9.78%

1 Month

86.43%

decreased by 2.46%

Analysis last updated: Friday, July 24, 2026 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of TLT Percentage Price Volatility Index MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 2004 to Jul 17, 2026

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 54% 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

46
α

ARCH

Response to squared shocks

0.1999
25.58***
β

GARCH

Volatility persistence

0.6313
43.81***
γ

leverage

Additional response to negative shocks

-0.0703
-5.66***
λ₁

tau intercept

Baseline long-term coefficient

10.0000
0.64
λ₂

forecast adj.

Forecast performance sensitivity

0.5961
0.67
λ₃

tau persistence

Long-term factor persistence

0.0938
0.07

Persistence:

0.796

Half-life:

3 days