V-Lab: FTSE Bursa Malaysia KLCI Index - Kuala Lumpur Composite Index MF2-GARCH Volatility Analysis

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V-Lab

FTSE Bursa Malaysia KLCI Index - Kuala Lumpur Composite Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:7.59% (-0.25%)

Analysis last updated: Thursday, May 2, 2024 at 10:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0698	21.24
$β$	0.7192	80.55
$γ$	0.1302	23.41
$λ_{1}$	0.0023	4.20
$λ_{2}$	0.0445	8.42
$λ_{3}$	0.9533	169.92

Estimation Period:
Jan 2, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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