V-Lab: Seong An Materials MF2-GARCH Volatility Analysis

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V-Lab

Seong An Materials MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:48.95% (-2.42%)

Analysis last updated: Thursday, May 2, 2024 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.1616	25.70
$β$	0.8403	138.68
$γ$	-0.0873	-13.33
$λ_{1}$	2.2408	0.61
$λ_{2}$	0.6251	0.62
$λ_{3}$	0.2655	0.22

Estimation Period:
Feb 18, 1997 to Apr 30, 2024

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