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

V-Lab

Russell 1000 Value Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:14.92% (-0.65%)

Analysis last updated: Friday, May 30, 2025 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8525	250.38
$γ$	0.1922	47.03
$λ_{1}$	0.0290	6.03
$λ_{2}$	0.1465	6.93
$λ_{3}$	0.8247	32.00

Estimation Period:
May 12, 2000 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts