V-Lab: SMEDI MF2-GARCH Volatility Analysis

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V-Lab

SMEDI MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:38.83% (-1.88%)

Analysis last updated: Friday, May 3, 2024 at 12:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.2155	22.01
$β$	0.7373	82.05
$γ$	-0.0189	-1.40
$λ_{1}$	0.0794	2.50
$λ_{2}$	0.0098	5.51
$λ_{3}$	0.9876	377.39

Estimation Period:
Jan 1, 2010 to Apr 30, 2024

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Volatility Forecasts