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

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V-Lab

MSCI Asia Pacific MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:12.77% (-0.61%)

Analysis last updated: Saturday, June 3, 2023 at 12:29 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0232	9.45
$β$	0.8384	178.58
$γ$	0.1340	29.03
$λ_{1}$	0.0046	6.79
$λ_{2}$	0.0313	6.91
$λ_{3}$	0.9647	193.18

Estimation Period:
Jan 1, 1990 to May 5, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts