V-Lab: MSCI Chile MF2-GARCH Volatility Analysis

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V-Lab

MSCI Chile MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, January 17th, 2025:6.26% (-15.29%)

Analysis last updated: Saturday, January 18, 2025 at 08:16 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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts