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

V-Lab

|

V-Lab

Russell Midcap Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:15.78% (-0.73%)

Analysis last updated: Saturday, June 3, 2023 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8475	229.11
$γ$	0.2039	43.61
$λ_{1}$	0.0210	8.65
$λ_{2}$	0.1527	12.69
$λ_{3}$	0.8312	58.94

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts