V-Lab: S&P 100 Index MF2-GARCH Volatility Analysis

V-Lab

S&P 100 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 24th, 2022:32.31% (-2.50%)

Analysis last updated: Tuesday, May 24, 2022, 12:10 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8372	218.98
$γ$	0.1961	39.08
$λ_{1}$	0.0109	5.29
$λ_{2}$	0.0744	4.52
$λ_{3}$	0.9154	50.48

Estimation Period:
Jan 1, 1990 to May 20, 2022

News Impact Curve

Volatility Forecasts

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