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

V-Lab

| |

V-Lab

NASDAQ Composite Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:17.92% (-0.86%)

Analysis last updated: Thursday, November 21, 2024 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8234	228.80
$γ$	0.1907	50.58
$λ_{1}$	0.0177	5.82
$λ_{2}$	0.1061	5.51
$λ_{3}$	0.8832	42.09

Estimation Period:
Jan 1, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts