V-Lab: IBEX 35 Index MF2-GARCH Volatility Analysis

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V-Lab

IBEX 35 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, March 23rd, 2023:30.35% (-1.72%)

Analysis last updated: Wednesday, March 22, 2023, 04:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	111
$α$	0.0225	6.64
$β$	0.8722	366.79
$γ$	0.1336	32.04
$λ_{1}$	0.0082	8.36
$λ_{2}$	0.0125	5.21
$λ_{3}$	0.9827	333.58

Estimation Period:
Jan 2, 1990 to Mar 17, 2023

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