V-Lab: MSCI World MF2-GARCH Volatility Analysis

V-Lab

MSCI World MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:14.44% (-0.87%)

Analysis last updated: Friday, May 2, 2025 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0012	0.64
$β$	0.8316	240.97
$γ$	0.1853	49.72
$λ_{1}$	0.0142	4.41
$λ_{2}$	0.1612	6.21
$λ_{3}$	0.8186	27.44

Estimation Period:
Jan 1, 1990 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts