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

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V-Lab

Russell 1000 Value Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:19.63% (-1.21%)

Analysis last updated: Friday, December 20, 2024 at 10:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8549	252.63
$γ$	0.1904	47.02
$λ_{1}$	0.0246	7.08
$λ_{2}$	0.1253	8.98
$λ_{3}$	0.8499	49.81

Estimation Period:
May 12, 2000 to Dec 20, 2024

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Volatility Forecasts

Volatility Forecasts