V-Lab: Russell 2000 Index MF2-GARCH Volatility Analysis

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V-Lab

Russell 2000 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 23rd, 2024:21.02% (-0.91%)

Analysis last updated: Monday, April 22, 2024 at 09:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0202	7.86
$β$	0.8447	280.72
$γ$	0.1551	41.38
$λ_{1}$	0.0014	6.19
$λ_{2}$	0.0159	12.79
$λ_{3}$	0.9833	747.76

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts