V-Lab: Light SA MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Light SA MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:35.54% (-1.17%)

Analysis last updated: Thursday, May 16, 2024 at 07:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0970	19.22
$β$	0.6297	42.30
$γ$	0.0853	10.20
$λ_{1}$	0.1482	2.73
$λ_{2}$	0.0610	3.35
$λ_{3}$	0.9267	47.59

Estimation Period:
Dec 20, 1991 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts