V-Lab: Light SA MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Light SA MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:39.23% (-0.07%)

Analysis last updated: Wednesday, May 1, 2024 at 04:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0953	18.63
$β$	0.6142	41.60
$γ$	0.0902	10.64
$λ_{1}$	0.1199	2.58
$λ_{2}$	0.0506	3.81
$λ_{3}$	0.9394	67.52

Estimation Period:
Dec 20, 1991 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts