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

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V-Lab

Russell Midcap Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, February 3rd, 2023:17.37% (-0.42%)

Analysis last updated: Friday, February 3, 2023, 05:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8468	225.82
$γ$	0.2057	43.61
$λ_{1}$	0.0200	8.31
$λ_{2}$	0.1590	13.27
$λ_{3}$	0.8270	59.05

Estimation Period:
Mar 1, 2004 to Nov 25, 2022

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