V-Lab: SPC SAMLIP MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

SPC SAMLIP MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:12.50% (-0.22%)

Analysis last updated: Saturday, May 18, 2024 at 12:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.1771	24.11
$β$	0.7307	64.28
$γ$	-0.0411	-5.10
$λ_{1}$	0.0025	1.37
$λ_{2}$	0.0159	5.37
$λ_{3}$	0.9841	323.18

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts