V-Lab: MSCI USA MF2-GARCH Volatility Analysis

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V-Lab

MSCI USA MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:13.33% (-0.39%)

Analysis last updated: Saturday, June 3, 2023 at 12:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0000	0.00
$β$	0.8469	234.61
$γ$	0.1866	42.75
$λ_{1}$	0.0114	5.65
$λ_{2}$	0.0765	4.98
$λ_{3}$	0.9123	53.51

Estimation Period:
Jan 1, 1990 to May 5, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts