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, November 15th, 2024:13.30% (+1.40%)

Analysis last updated: Friday, November 15, 2024 at 10:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0000	0.00
$β$	0.8518	245.20
$γ$	0.1930	43.97
$λ_{1}$	0.0241	7.92
$λ_{2}$	0.1646	10.23
$λ_{3}$	0.8154	43.21

Estimation Period:
Mar 1, 2004 to Aug 30, 2024

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