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

V-Lab

Russell 1000 Value Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:35.05% (-2.58%)

Analysis last updated: Thursday, April 17, 2025 at 09:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8542	251.30
$γ$	0.1920	47.00
$λ_{1}$	0.0275	6.53
$λ_{2}$	0.1379	7.76
$λ_{3}$	0.8351	38.54

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts