V-Lab: MSCI Chile MF2-GARCH Volatility Analysis

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V-Lab

MSCI Chile MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, March 27th, 2023:30.66% (+0.20%)

Analysis last updated: Saturday, March 25, 2023, 03:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0879	34.81
$β$	0.7963	147.92
$γ$	0.0973	21.66
$λ_{1}$	0.0063	8.70
$λ_{2}$	0.0365	8.89
$λ_{3}$	0.9589	204.32

Estimation Period:
Jan 1, 1990 to Mar 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts