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, June 5th, 2023:14.79% (-0.13%)

Analysis last updated: Friday, June 2, 2023 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0265	26.52
$α$	0.1723	38.83
$β$	0.8070	211.71
$γ$	0.3412	28.80
$δ$	1.4555	28.99

Estimation Period:
May 12, 2000 to Jun 2, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts