V-Lab: Russell 1000 Value Index Asy. Power MEM Volatility Analysis

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V-Lab

Russell 1000 Value Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:14.98% (+0.08%)

Analysis last updated: Friday, January 27, 2023, 11:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0260	26.10
$α$	0.1712	37.91
$β$	0.8080	209.66
$γ$	0.3439	28.43
$δ$	1.4747	29.19

Estimation Period:
May 12, 2000 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts