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

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V-Lab

NASDAQ Composite Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 5th, 2023:16.25% (-0.27%)

Analysis last updated: Friday, June 2, 2023 at 10:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8215	223.00
$γ$	0.1928	49.64
$λ_{1}$	0.0179	5.84
$λ_{2}$	0.1092	5.64
$λ_{3}$	0.8803	41.93

Estimation Period:
Jan 1, 1990 to Jun 2, 2023

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Volatility Forecasts

Volatility Forecasts