V-Lab: NASDAQ Composite Index MF2-GARCH Volatility Analysis

V-Lab

|

V-Lab

NASDAQ Composite Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 5th, 2023:13.94% (+1.15%)

Analysis last updated: Monday, December 4, 2023 at 10:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8230	225.72
$γ$	0.1905	49.81
$λ_{1}$	0.0182	5.84
$λ_{2}$	0.1098	5.62
$λ_{3}$	0.8791	41.30

Estimation Period:
Jan 1, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts