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 Wednesday, January 22nd, 2025:20.03% (-0.27%)

Analysis last updated: Tuesday, January 21, 2025 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0229	9.09
$β$	0.8429	275.10
$γ$	0.1518	41.18
$λ_{1}$	0.0011	5.84
$λ_{2}$	0.0145	13.19
$λ_{3}$	0.9848	842.47

Estimation Period:
Jan 1, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts