V-Lab: Sims Ltd MF2-GARCH Volatility Analysis

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V-Lab

Sims Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:30.14% (-2.27%)

Analysis last updated: Thursday, May 2, 2024 at 03:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1106	13.06
$β$	0.4487	20.60
$γ$	0.0394	3.90
$λ_{1}$	0.0089	0.56
$λ_{2}$	0.0146	1.61
$λ_{3}$	0.9837	97.19

Estimation Period:
Nov 25, 1991 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts