V-Lab: Farmsco MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Farmsco MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:24.93% (-1.09%)

Analysis last updated: Tuesday, May 7, 2024 at 10:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.1695	23.33
$β$	0.6819	44.79
$γ$	-0.0710	-8.01
$λ_{1}$	0.0610	2.31
$λ_{2}$	0.0268	3.83
$λ_{3}$	0.9659	103.14

Estimation Period:
Oct 25, 1999 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts