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 30th, 2025:11.84% (-0.32%)

Analysis last updated: Friday, June 27, 2025 at 09:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8524	250.35
$γ$	0.1928	47.02
$λ_{1}$	0.0276	6.44
$λ_{2}$	0.1377	7.61
$λ_{3}$	0.8346	37.66

Estimation Period:
May 12, 2000 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts