V-Lab: CBT-Rough Rice Composite Futures Continuous MF2-GARCH Volatility Analysis

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V-Lab

CBT-Rough Rice Composite Futures Continuous MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:14.73% (-0.82%)

Analysis last updated: Tuesday, November 23, 2021 at 10:56 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.1158	21.70
$β$	0.6777	42.38
$γ$	0.0203	3.00
$λ_{1}$	0.0258	1.55
$λ_{2}$	0.0470	2.89
$λ_{3}$	0.9431	46.29

Estimation Period:
Jan 4, 2000 to Nov 19, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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