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V-Lab

BMO Equal Weight US BKS Indx MF2-GARCH Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

23.73%

increased by 3.30%

1 Week

24.06%

increased by 3.63%

1 Month

24.69%

increased by 4.26%

Analysis last updated: Saturday, July 18, 2026 at 09:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of BMO Equal Weight US BKS Indx MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 17, 2014 to Jul 17, 2026

Model 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

ParameterValuet-statistic
m

window

Rolling window length

46
α

ARCH

Response to squared shocks

0.0151
1.91*
β

GARCH

Volatility persistence

0.6871
59.85***
γ

leverage

Additional response to negative shocks

0.2320
21.22***
λ₁

tau intercept

Baseline long-term coefficient

1.0961
0.21
λ₂

forecast adj.

Forecast performance sensitivity

0.5620
0.21
λ₃

tau persistence

Long-term factor persistence

0.0344
0.01

Persistence:

0.818

Half-life:

3 days