V-Lab: Russell 2000 Index Asy. Power MEM Volatility Analysis

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V-Lab

Russell 2000 Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:18.34% (-0.75%)

Analysis last updated: Tuesday, September 17, 2024 at 09:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0440	31.84
$α$	0.1873	57.13
$β$	0.7901	208.36
$γ$	0.2780	35.03
$δ$	0.6498	23.13

Estimation Period:
Jan 1, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts