V-Lab: S&P / ASX 200 Volatility Index MF2-GARCH Volatility Analysis

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V-Lab

S&P / ASX 200 Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:135.80% (+44.33%)

Analysis last updated: Friday, December 20, 2024 at 09:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.1052	14.71
$β$	0.7341	32.76
$γ$	-0.0294	-2.06
$λ_{1}$	10.0000	0.35
$λ_{2}$	0.2177	0.35
$λ_{3}$	0.5446	0.42

Estimation Period:
Jan 2, 2008 to Nov 19, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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