V-Lab: TP MF2-GARCH Volatility Analysis

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V-Lab

TP MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:36.91% (+1.62%)

Analysis last updated: Wednesday, May 1, 2024 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.1616	22.13
$β$	0.7359	42.42
$γ$	-0.0510	-5.67
$λ_{1}$	0.2317	1.65
$λ_{2}$	0.1191	1.60
$λ_{3}$	0.8616	9.92

Estimation Period:
Dec 27, 1994 to Apr 30, 2024

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Impact of return on volatility tomorrow

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Volatility Forecasts