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

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V-Lab

S&P 100 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:17.16% (-0.38%)

Analysis last updated: Friday, January 27, 2023, 11:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8362	218.68
$γ$	0.1948	40.75
$λ_{1}$	0.0115	5.17
$λ_{2}$	0.0825	4.63
$λ_{3}$	0.9072	46.49

Estimation Period:
Jan 1, 1990 to Jan 27, 2023

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