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 Friday, February 3rd, 2023:23.28% (-0.55%)

Analysis last updated: Thursday, February 2, 2023, 11:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8216	221.87
$γ$	0.1933	49.48
$λ_{1}$	0.0168	5.81
$λ_{2}$	0.1062	5.66
$λ_{3}$	0.8843	43.69

Estimation Period:
Jan 1, 1990 to Jan 27, 2023

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