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, September 20th, 2024:19.46% (-0.01%)

Analysis last updated: Thursday, September 19, 2024 at 09:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0232	8.95
$β$	0.8435	275.55
$γ$	0.1516	40.67
$λ_{1}$	0.0012	6.09
$λ_{2}$	0.0148	13.03
$λ_{3}$	0.9845	817.69

Estimation Period:
Jan 1, 1990 to Sep 13, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts