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, January 17th, 2025:12.81% (-0.37%)

Analysis last updated: Saturday, January 18, 2025 at 08:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0218	8.64
$β$	0.8190	154.53
$γ$	0.1424	29.80
$λ_{1}$	0.0052	6.03
$λ_{2}$	0.0341	6.91
$λ_{3}$	0.9614	175.92

Estimation Period:
Jan 1, 1990 to Jan 2, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts