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

V-Lab

Russell 1000 Value Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:9.89% (+4.41%)

Analysis last updated: Saturday, January 15, 2022, 01:55 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0261	25.84
$α$	0.1700	36.54
$β$	0.8078	207.45
$γ$	0.3444	27.28
$δ$	1.4765	27.18

Estimation Period:
May 12, 2000 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

Other Russell 1000 Value Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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