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In contrast to other multiplicative component GARCH models, the MF2\u2010GARCH features stationary returns, and long\u2010term volatility forecasts are mean\u2010reverting. When applied to the S&amp;P 500, the new component model significantly outperforms the one\u2010component GJR\u2010GARCH, the GARCH\u2010MIDAS\u2010RV, and the log\u2010HAR model in long\u2010term out\u2010of\u2010sample forecasting. We illustrate the MF2\u2010GARCH's scalability by applying the new model to more than 2100 individual stocks in the Volatility Lab at NYU Stern.<\/jats:p>","DOI":"10.1002\/jae.3118","type":"journal-article","created":{"date-parts":[[2025,3,11]],"date-time":"2025-03-11T18:42:30Z","timestamp":1741718550000},"page":"438-454","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Modelling Volatility Cycles: The MF2\u2010GARCH Model"],"prefix":"10.1002","volume":"40","author":[{"given":"Christian","family":"Conrad","sequence":"first","affiliation":[{"name":"Alfred\u2010Weber\u2010Institute Heidelberg University  Heidelberg Germany"},{"name":"HEiKA \u2010 Heidelberg Karlsruhe Strategic Partnership Heidelberg University, Karlsruhe Institute of Technology  Karlsruhe Germany"},{"name":"KOF Swiss Economic Institute  Zurich Switzerland"},{"name":"ZEW Mannheim  Mannheim Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Robert F.","family":"Engle","sequence":"additional","affiliation":[{"name":"Stern School of Business New York University  New York USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2025,2,24]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2020.03.005"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.03.006"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2014.977064"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2256"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(95)01749-6"},{"key":"e_1_2_9_7_1","doi-asserted-by":"crossref","unstructured":"Baker S. 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