V-Lab: Russell 1000 Value Index MF2-GARCH Volatility Analysis

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Russell 1000 Value Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 22nd, 2025:13.33% (-0.70%)

Analysis last updated: Tuesday, October 21, 2025 at 09:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8532	252.28
$γ$	0.1928	47.18
$λ_{1}$	0.0255	6.92
$λ_{2}$	0.1247	8.34
$λ_{3}$	0.8494	46.33

Estimation Period:
May 12, 2000 to Oct 17, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts