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

V-Lab

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V-Lab

IBEX 35 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:17.33% (-0.88%)

Analysis last updated: Friday, December 20, 2024 at 04:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	111
$α$	0.0230	6.79
$β$	0.8683	362.69
$γ$	0.1331	31.84
$λ_{1}$	0.0078	8.03
$λ_{2}$	0.0143	5.30
$λ_{3}$	0.9808	298.76

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts