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, April 19th, 2024:20.33% (-0.08%)

Analysis last updated: Saturday, April 20, 2024 at 03:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0331	29.89
$α$	0.1940	41.60
$β$	0.7875	178.24
$γ$	0.2909	25.02
$δ$	1.2899	24.79

Estimation Period:
Mar 1, 2004 to Mar 28, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts