MICEX 10 Index MF2-GARCH Volatility Analysis
Suspended
Last recorded values (Tuesday, November 23rd, 2021):
1 Day
23.98%
1 Week
23.28%
1 Month
21.96%
Analysis last updated: Monday, November 22, 2021 at 09:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 41 | ||
| 0.0341 | 5.60 | |
| 0.7861 | 66.91 | |
| 0.1185 | 13.83 | |
| 0.0787 | 1.32 | |
| 0.1919 | 1.25 | |
| 0.7803 | 4.43 |
Estimation Period:
Mar 19, 2001 to Nov 19, 2021
Mar 19, 2001 to Nov 19, 2021
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