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 Wednesday, October 4th, 2023:17.58% (+2.57%)

Analysis last updated: Tuesday, October 3, 2023 at 03:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	111
$α$	0.0234	6.80
$β$	0.8688	359.92
$γ$	0.1343	31.67
$λ_{1}$	0.0081	8.15
$λ_{2}$	0.0136	5.22
$λ_{3}$	0.9815	308.45

Estimation Period:
Jan 2, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts