V-Lab: MSCI Asia Pacific MF2-GARCH Volatility Analysis

V-Lab

MSCI Asia Pacific MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:21.16% (-0.90%)

Analysis last updated: Friday, May 2, 2025 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0212	8.33
$β$	0.8163	151.93
$γ$	0.1436	30.03
$λ_{1}$	0.0054	5.90
$λ_{2}$	0.0348	6.78
$λ_{3}$	0.9605	168.93

Estimation Period:
Jan 1, 1990 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts