MICEX 10 Index AGARCH Volatility Analysis
Suspended
Last recorded values (Tuesday, November 23rd, 2021):
1 Day
21.72%
1 Week
21.98%
1 Month
22.96%
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 | |
|---|---|---|
| 0.0294 | 9.56 | |
| 0.0913 | 27.08 | |
| 0.9006 | 276.18 | |
| 0.3106 | 5.79 |
Estimation Period:
Mar 19, 2001 to Nov 19, 2021
Mar 19, 2001 to Nov 19, 2021
Other AGARCH Analyses on Equity Indices