V-Lab: Bangladesh Dhaka Stock Exchange Broad Index MF2-GARCH Volatility Analysis

V-Lab

|

V-Lab

Bangladesh Dhaka Stock Exchange Broad Index MF2-GARCH Volatility Analysis

Volatility Prediction for Sunday, September 24th, 2023:2.22% (-0.09%)

Analysis last updated: Friday, September 22, 2023 at 04:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.1660	32.43
$β$	0.7009	120.63
$γ$	0.1262	16.09
$λ_{1}$	0.0023	1.74
$λ_{2}$	0.5330	20.31
$λ_{3}$	0.4621	16.21

Estimation Period:
Jan 28, 2013 to Sep 21, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Bangladesh Dhaka Stock Exchange Broad Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T