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

V-Lab

|

V-Lab

MSCI Asia Pacific MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, September 30th, 2022:21.84% (-1.62%)

Analysis last updated: Friday, September 30, 2022, 03:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0193	7.37
$β$	0.8252	160.16
$γ$	0.1428	29.91
$λ_{1}$	0.0045	5.88
$λ_{2}$	0.0322	6.80
$λ_{3}$	0.9640	185.49

Estimation Period:
Jan 1, 1990 to Sep 22, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts