V-Lab: Russell 1000 Value Index Asy. Power MEM Volatility Analysis

V-Lab

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V-Lab

Russell 1000 Value Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:12.85% (+1.16%)

Analysis last updated: Tuesday, April 30, 2024 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0265	27.10
$α$	0.1706	39.55
$β$	0.8081	217.46
$γ$	0.3342	29.23
$δ$	1.4660	29.35

Estimation Period:
May 12, 2000 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts