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

V-Lab

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V-Lab

Russell 1000 Value Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:10.28% (-0.32%)

Analysis last updated: Thursday, November 21, 2024 at 10:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8552	251.67
$γ$	0.1896	46.93
$λ_{1}$	0.0249	7.01
$λ_{2}$	0.1275	8.87
$λ_{3}$	0.8472	48.14

Estimation Period:
May 12, 2000 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts