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, March 24th, 2025:13.52% (-0.33%)

Analysis last updated: Friday, March 21, 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
$β$	0.8547	251.07
$γ$	0.1902	47.05
$λ_{1}$	0.0225	7.29
$λ_{2}$	0.1154	9.52
$λ_{3}$	0.8616	58.08

Estimation Period:
May 12, 2000 to Mar 21, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts