V-Lab: MSCI Asia Pacific MF2-GARCH Volatility Analysis

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V-Lab

MSCI Asia Pacific MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, October 25th, 2021:11.07% (-0.37%)

Analysis last updated: Saturday, October 23, 2021, 05:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0209	7.62
$β$	0.8248	151.45
$γ$	0.1382	27.77
$λ_{1}$	0.0043	5.56
$λ_{2}$	0.0320	6.60
$λ_{3}$	0.9644	181.51

Estimation Period:
Jan 1, 1990 to Oct 22, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts