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

V-Lab

|

V-Lab

NASDAQ Composite Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 5th, 2022:29.81% (-1.67%)

Analysis last updated: Tuesday, October 4, 2022, 10:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8214	220.87
$γ$	0.1930	49.17
$λ_{1}$	0.0169	5.79
$λ_{2}$	0.1075	5.67
$λ_{3}$	0.8829	43.21

Estimation Period:
Jan 1, 1990 to Sep 30, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts