V-Lab: Abacus Group MF2-GARCH Volatility Analysis

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V-Lab

Abacus Group MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:23.98% (-0.50%)

Analysis last updated: Tuesday, November 12, 2024 at 07:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0708	23.30
$β$	0.8977	164.93
$γ$	0.0046	0.83
$λ_{1}$	0.0188	10.01
$λ_{2}$	0.0373	8.83
$λ_{3}$	0.9567	200.87

Estimation Period:
Nov 14, 2002 to Nov 8, 2024

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Volatility Forecasts