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

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Colombia COLCAP Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:16.68% (+0.72%)

Analysis last updated: Wednesday, October 4, 2023 at 04:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0848	17.42
$β$	0.7143	80.95
$γ$	0.1666	20.05
$λ_{1}$	0.0038	4.00
$λ_{2}$	0.0208	6.84
$λ_{3}$	0.9755	264.51

Estimation Period:
Jan 16, 2008 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts