V-Lab: MSCI Europe MF2-GARCH Volatility Analysis

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V-Lab

MSCI Europe MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:9.08% (-0.21%)

Analysis last updated: Friday, December 1, 2023 at 05:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8222	208.77
$γ$	0.2241	39.66
$λ_{1}$	0.0078	5.92
$λ_{2}$	0.0587	6.21
$λ_{3}$	0.9343	89.50

Estimation Period:
Dec 30, 1998 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts