V-Lab: MSCI Europe MF2-GARCH Volatility Analysis

V-Lab

|

V-Lab

MSCI Europe MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:14.57% (-1.12%)

Analysis last updated: Saturday, June 3, 2023 at 12:29 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8225	210.19
$γ$	0.2260	39.82
$λ_{1}$	0.0081	5.88
$λ_{2}$	0.0624	6.07
$λ_{3}$	0.9305	82.43

Estimation Period:
Dec 30, 1998 to May 5, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts