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, February 3rd, 2023:13.56% (-0.36%)

Analysis last updated: Friday, February 3, 2023, 05:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0219	8.78
$β$	0.8349	171.46
$γ$	0.1363	28.97
$λ_{1}$	0.0048	6.40
$λ_{2}$	0.0332	6.72
$λ_{3}$	0.9629	177.98

Estimation Period:
Jan 1, 1990 to Nov 25, 2022

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