V-Lab: S&P/TSX 60 Index MF2-GARCH Volatility Analysis

V-Lab

S&P/TSX 60 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, September 18th, 2025:8.33% (-0.13%)

Analysis last updated: Thursday, September 18, 2025 at 01:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0128	4.89
$β$	0.8377	222.74
$γ$	0.1556	37.98
$λ_{1}$	0.0035	6.43
$λ_{2}$	0.0421	8.24
$λ_{3}$	0.9539	167.21

Estimation Period:
Jan 2, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts