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, October 4th, 2023:21.92% (+1.23%)

Analysis last updated: Tuesday, October 3, 2023 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0435	31.44
$α$	0.1864	56.20
$β$	0.7916	207.07
$γ$	0.2868	35.27
$δ$	0.6697	23.86

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts