V-Lab: YG PLUS MF2-GARCH Volatility Analysis

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V-Lab

YG PLUS MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:27.75% (-0.36%)

Analysis last updated: Thursday, May 9, 2024 at 12:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.1851	22.94
$β$	0.5321	33.46
$γ$	-0.0055	-0.40
$λ_{1}$	2.7003	0.45
$λ_{2}$	0.7639	0.43
$λ_{3}$	0.0000	0.00

Estimation Period:
Aug 1, 2003 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts