V-Lab: MSCI USA MF2-GARCH Volatility Analysis

V-Lab

MSCI USA MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:38.26% (-2.86%)

Analysis last updated: Saturday, April 19, 2025 at 12:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0000	0.00
$β$	0.8477	238.31
$γ$	0.1875	43.22
$λ_{1}$	0.0111	5.64
$λ_{2}$	0.0702	4.75
$λ_{3}$	0.9188	55.53

Estimation Period:
Jan 1, 1990 to Apr 17, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts