V-Lab: Colombia COLCAP Index MF2-GARCH Volatility Analysis

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V-Lab

Colombia COLCAP Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 15th, 2024:14.03% (-0.98%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0874	17.77
$β$	0.7136	80.98
$γ$	0.1620	19.71
$λ_{1}$	0.0037	4.00
$λ_{2}$	0.0191	6.66
$λ_{3}$	0.9772	276.84

Estimation Period:
Jan 16, 2008 to Mar 27, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts