V-Lab: Abacus Group MF2-GARCH Volatility Analysis

V-Lab

Abacus Group MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:30.27% (+0.16%)

Analysis last updated: Sunday, May 11, 2025 at 12:55 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0727	23.50
$β$	0.8958	164.37
$γ$	0.0025	0.46
$λ_{1}$	0.0194	9.71
$λ_{2}$	0.0380	8.65
$λ_{3}$	0.9557	191.53

Estimation Period:
Nov 14, 2002 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts