MICEX 10 Index GJR-GARCH Volatility Analysis
Suspended
Last recorded values (Tuesday, November 23rd, 2021):
1 Day
22.00%
1 Week
22.21%
1 Month
22.97%
Analysis last updated: Monday, November 22, 2021 at 09:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0332 | 13.97 | |
| 0.0634 | 12.86 | |
| 0.9079 | 303.45 | |
| 0.0419 | 5.05 |
Estimation Period:
Mar 19, 2001 to Nov 19, 2021
Mar 19, 2001 to Nov 19, 2021
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