V-Lab: GPT Group/The MF2-GARCH Volatility Analysis

V-Lab

GPT Group/The MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:19.69% (+0.07%)

Analysis last updated: Sunday, May 11, 2025 at 01:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0219	14.20
$β$	0.9423	621.97
$γ$	0.0542	20.98
$λ_{1}$	1.7497	0.38
$λ_{2}$	0.0000	0.00
$λ_{3}$	0.1170	0.05

Estimation Period:
Jan 1, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts