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, June 2nd, 2023:11.83% (-0.48%)

Analysis last updated: Saturday, June 3, 2023 at 12:29 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0040	2.04
$β$	0.8295	232.08
$γ$	0.1822	47.11
$λ_{1}$	0.0140	4.45
$λ_{2}$	0.1657	6.48
$λ_{3}$	0.8144	27.73

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts