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, December 23rd, 2024:25.30% (-1.68%)

Analysis last updated: Friday, December 20, 2024 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8232	225.10
$γ$	0.1899	50.22
$λ_{1}$	0.0173	5.67
$λ_{2}$	0.1044	5.37
$λ_{3}$	0.8853	41.87

Estimation Period:
Jan 1, 1990 to Dec 20, 2024

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Volatility Forecasts

Volatility Forecasts