V-Lab: MSCI USA MF2-GARCH Volatility Analysis

V-Lab

|

V-Lab

MSCI USA MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:9.52% (-0.12%)

Analysis last updated: Friday, December 1, 2023 at 05:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0000	0.00
$β$	0.8476	237.94
$γ$	0.1852	43.11
$λ_{1}$	0.0123	5.73
$λ_{2}$	0.0801	5.08
$λ_{3}$	0.9073	51.43

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts