V-Lab: MICEX 10 Index MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

MICEX 10 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:23.98% (+3.70%)

Analysis last updated: Monday, November 22, 2021 at 09:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0341	5.60
$β$	0.7861	66.91
$γ$	0.1185	13.83
$λ_{1}$	0.0787	1.32
$λ_{2}$	0.1919	1.25
$λ_{3}$	0.7803	4.43

Estimation Period:
Mar 19, 2001 to Nov 19, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts