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, October 28th, 2024:12.52% (+1.77%)

Analysis last updated: Friday, October 25, 2024 at 09:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0274	27.57
$α$	0.1755	41.12
$β$	0.8029	216.01
$γ$	0.3195	29.30
$δ$	1.4589	28.68

Estimation Period:
May 12, 2000 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts