V-Lab: Rosgosstrakh PJSC MF2-GARCH Volatility Analysis

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V-Lab

Rosgosstrakh PJSC MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 26th, 2023:0.00% (0.00%)

Analysis last updated: Tuesday, May 7, 2024 at 09:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.9500	9500350.00
$β$	0.2875	2875420.00
$γ$	-0.4752	-4751530.00
$λ_{1}$	0.0000	10.00
$λ_{2}$	0.5772	5771820.00
$λ_{3}$	0.4228	4228180.00

Estimation Period:
Nov 25, 2013 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts