V-Lab: MSCI Europe MF2-GARCH Volatility Analysis

V-Lab

MSCI Europe MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:14.84% (-1.01%)

Analysis last updated: Friday, May 2, 2025 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8190	212.01
$γ$	0.2278	40.89
$λ_{1}$	0.0078	6.06
$λ_{2}$	0.0608	6.29
$λ_{3}$	0.9322	87.68

Estimation Period:
Dec 30, 1998 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts