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, December 1st, 2023:11.49% (-0.21%)

Analysis last updated: Friday, December 1, 2023 at 05:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0209	8.55
$β$	0.8355	170.34
$γ$	0.1348	29.02
$λ_{1}$	0.0044	6.41
$λ_{2}$	0.0301	7.01
$λ_{3}$	0.9660	203.76

Estimation Period:
Jan 1, 1990 to Nov 2, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts