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

V-Lab

GPT Group/The MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 3rd, 2025:21.13% (-0.20%)

Analysis last updated: Tuesday, June 3, 2025 at 09:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0219	14.87
$β$	0.9425	528.32
$γ$	0.0539	21.08
$λ_{1}$	0.0170	9.49
$λ_{2}$	0.0000	0.01
$λ_{3}$	0.9914	1,083.54

Estimation Period:
Jan 1, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts