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 Wednesday, January 22nd, 2025:12.04% (-0.44%)

Analysis last updated: Tuesday, January 21, 2025 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8550	251.85
$γ$	0.1896	46.89
$λ_{1}$	0.0238	7.15
$λ_{2}$	0.1218	9.20
$λ_{3}$	0.8538	52.65

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts