V-Lab: Russell 2000 Index MF2-GARCH Volatility Analysis

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V-Lab

Russell 2000 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 14th, 2025:23.63% (-1.29%)

Analysis last updated: Monday, January 13, 2025 at 10:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0229	9.06
$β$	0.8430	275.39
$γ$	0.1520	41.21
$λ_{1}$	0.0011	5.82
$λ_{2}$	0.0146	13.18
$λ_{3}$	0.9848	841.74

Estimation Period:
Jan 1, 1990 to Jan 10, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts