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

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Russell 2000 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 5th, 2023:19.52% (+1.06%)

Analysis last updated: Friday, June 2, 2023 at 10:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0199	7.48
$β$	0.8449	281.27
$γ$	0.1584	41.16
$λ_{1}$	0.0022	6.27
$λ_{2}$	0.0232	10.90
$λ_{3}$	0.9755	427.87

Estimation Period:
Jan 1, 1990 to Jun 2, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts