V-Lab: Russell Midcap Index MF2-GARCH Volatility Analysis

V-Lab

Russell Midcap Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 11th, 2025:56.10% (+2.70%)

Analysis last updated: Saturday, April 12, 2025 at 02:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.0000	0.00
$β$	0.8564	254.21
$γ$	0.1878	45.13
$λ_{1}$	0.0551	4.42
$λ_{2}$	0.3813	5.26
$λ_{3}$	0.5768	6.95

Estimation Period:
Mar 1, 2004 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts