V-Lab: MSCI World MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

MSCI World MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:8.35% (-0.09%)

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
$α$	0.0030	1.58
$β$	0.8304	233.46
$γ$	0.1812	47.48
$λ_{1}$	0.0143	4.35
$λ_{2}$	0.1679	6.25
$λ_{3}$	0.8113	26.23

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts