V-Lab: Budapest Stock Exchange Budapest Stock Index MF2-GARCH Volatility Analysis

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V-Lab

Budapest Stock Exchange Budapest Stock Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:13.18% (-0.87%)

Analysis last updated: Saturday, December 21, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0948	17.78
$β$	0.7477	107.21
$γ$	0.1082	15.26
$λ_{1}$	0.3682	1.15
$λ_{2}$	0.8328	1.19
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 1, 1991 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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