V-Lab
BMO Equal Weight US BKS Indx MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
18.97%
decreased by 0.54%
1 Week
20.69%
increased by 1.18%
1 Month
22.78%
increased by 3.27%
Analysis last updated: Tuesday, July 28, 2026 at 09:25 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 17, 2014 to Jul 24, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.0153 | 1.95* |
β GARCH Volatility persistence | 0.6865 | 59.36*** |
γ leverage Additional response to negative shocks | 0.2314 | 21.21*** |
λ₁ tau intercept Baseline long-term coefficient | 1.0840 | 0.21 |
λ₂ forecast adj. Forecast performance sensitivity | 0.5612 | 0.22 |
λ₃ tau persistence Long-term factor persistence | 0.0380 | 0.01 |
Persistence:
0.817
Half-life:
3 days
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