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 Friday, April 19th, 2024:16.24% (-0.92%)

Analysis last updated: Saturday, April 20, 2024 at 03:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0211	8.73
$β$	0.8371	173.35
$γ$	0.1339	29.21
$λ_{1}$	0.0042	6.47
$λ_{2}$	0.0290	7.09
$λ_{3}$	0.9673	214.05

Estimation Period:
Jan 1, 1990 to Feb 22, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts