V-Lab: MSCI Chile MF2-GARCH Volatility Analysis

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V-Lab

MSCI Chile MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, October 2nd, 2023:22.44% (-0.23%)

Analysis last updated: Monday, October 2, 2023 at 03:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0862	34.95
$β$	0.7990	150.59
$γ$	0.0954	21.69
$λ_{1}$	0.0058	8.92
$λ_{2}$	0.0354	9.06
$λ_{3}$	0.9603	216.23

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts