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

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Russell 2000 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 5th, 2022:29.25% (-0.36%)

Analysis last updated: Tuesday, October 4, 2022, 10:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0205	7.50
$β$	0.8431	277.60
$γ$	0.1600	41.13
$λ_{1}$	0.0019	6.28
$λ_{2}$	0.0206	11.51
$λ_{3}$	0.9783	511.92

Estimation Period:
Jan 1, 1990 to Sep 30, 2022

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