V-Lab: MSCI Europe MF2-GARCH Volatility Analysis

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V-Lab

MSCI Europe MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, February 3rd, 2023:11.91% (-0.25%)

Analysis last updated: Friday, February 3, 2023, 05:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8270	213.98
$γ$	0.2225	39.65
$λ_{1}$	0.0077	5.95
$λ_{2}$	0.0597	6.05
$λ_{3}$	0.9338	86.50

Estimation Period:
Dec 30, 1998 to Nov 25, 2022

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