V-Lab: MSCI Europe MF2-GARCH Volatility Analysis

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V-Lab

MSCI Europe MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, September 30th, 2022:22.90% (+1.97%)

Analysis last updated: Friday, September 30, 2022, 03:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8358	208.11
$γ$	0.2105	38.48
$λ_{1}$	0.0072	5.68
$λ_{2}$	0.0641	5.81
$λ_{3}$	0.9295	77.38

Estimation Period:
Jan 1, 1999 to Nov 19, 2021

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Volatility Forecasts

Volatility Forecasts