V-Lab: Russell Midcap Index Asy. Power MEM Volatility Analysis

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V-Lab

Russell Midcap Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Friday, September 29th, 2023:14.05% (-0.40%)

Analysis last updated: Friday, September 29, 2023 at 08:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0333	29.48
$α$	0.1973	40.00
$β$	0.7847	169.44
$γ$	0.3009	24.52
$δ$	1.2790	23.97

Estimation Period:
Mar 1, 2004 to May 5, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts