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 Thursday, April 25th, 2024:21.92% (-0.13%)

Analysis last updated: Wednesday, April 24, 2024 at 09:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0431	31.50
$α$	0.1840	56.49
$β$	0.7942	211.38
$γ$	0.2855	35.45
$δ$	0.6618	23.61

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts