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

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Russell Midcap Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, September 30th, 2022:30.89% (+2.40%)

Analysis last updated: Friday, September 30, 2022, 04:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8461	217.74
$γ$	0.2085	41.51
$λ_{1}$	0.0211	8.95
$λ_{2}$	0.1406	12.68
$λ_{3}$	0.8423	63.88

Estimation Period:
Mar 1, 2004 to May 6, 2022

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