V-Lab: MSCI Chile MF2-GARCH Volatility Analysis

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V-Lab

MSCI Chile MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:6.33% (-0.23%)

Analysis last updated: Friday, December 20, 2024 at 09:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	1.0000	9999900.00
$β$	0.0206	205990.00
$γ$	-0.0412	-411770.00
$λ_{1}$	0.5299	26.91
$λ_{2}$	0.2860	26.02
$λ_{3}$	0.2627	8.78

Estimation Period:
Jan 1, 1990 to Oct 31, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts