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, November 15th, 2024:16.83% (-0.21%)

Analysis last updated: Friday, November 15, 2024 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0206	8.55
$β$	0.8366	173.93
$γ$	0.1350	29.44
$λ_{1}$	0.0043	6.44
$λ_{2}$	0.0292	7.10
$λ_{3}$	0.9671	212.63

Estimation Period:
Jan 1, 1990 to May 2, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts