V-Lab: MTR Corp Ltd MF2-GARCH Volatility Analysis

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V-Lab

MTR Corp Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:22.39% (-1.07%)

Analysis last updated: Sunday, April 28, 2024 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0815	21.52
$β$	0.8549	110.72
$γ$	0.0296	5.65
$λ_{1}$	0.0060	6.16
$λ_{2}$	0.0128	4.76
$λ_{3}$	0.9837	298.00

Estimation Period:
Oct 6, 2000 to Apr 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts