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 Friday, November 22nd, 2024:20.66% (-0.46%)

Analysis last updated: Thursday, November 21, 2024 at 10:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0232	9.18
$β$	0.8430	275.57
$γ$	0.1521	41.16
$λ_{1}$	0.0011	5.84
$λ_{2}$	0.0146	13.15
$λ_{3}$	0.9848	840.31

Estimation Period:
Jan 1, 1990 to Nov 15, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts