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

V-Lab

Russell 2000 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 6th, 2025:24.30% (-0.56%)

Analysis last updated: Monday, May 5, 2025 at 09:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0226	8.99
$β$	0.8429	278.47
$γ$	0.1529	41.74
$λ_{1}$	0.0010	5.72
$λ_{2}$	0.0141	13.41
$λ_{3}$	0.9854	886.94

Estimation Period:
Jan 1, 1990 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts