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

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Russell 2000 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, February 3rd, 2023:20.12% (-0.09%)

Analysis last updated: Thursday, February 2, 2023, 11:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0197	7.30
$β$	0.8446	281.63
$γ$	0.1599	41.44
$λ_{1}$	0.0019	6.33
$λ_{2}$	0.0205	11.58
$λ_{3}$	0.9784	519.34

Estimation Period:
Jan 1, 1990 to Jan 27, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts