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, July 26th, 2024:19.72% (-0.61%)

Analysis last updated: Friday, July 26, 2024 at 04:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0335	30.08
$α$	0.1940	42.00
$β$	0.7872	179.06
$γ$	0.2907	25.14
$δ$	1.2790	24.71

Estimation Period:
Mar 1, 2004 to Jul 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts