V-Lab: BH Macro Ltd MF2-GARCH Volatility Analysis

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V-Lab

BH Macro Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:20.64% (-0.79%)

Analysis last updated: Tuesday, November 12, 2024 at 10:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0533	8.13
$β$	0.9111	294.38
$γ$	0.0651	7.02
$λ_{1}$	3.4461	0.20
$λ_{2}$	0.0000	0.00
$λ_{3}$	0.0000	0.00

Estimation Period:
Mar 8, 2007 to Nov 8, 2024

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Volatility Forecasts

Volatility Forecasts