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

V-Lab

|

V-Lab

Russell 2000 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 5th, 2023:17.29% (-0.47%)

Analysis last updated: Monday, December 4, 2023 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0197	7.76
$β$	0.8480	290.71
$γ$	0.1557	42.15
$λ_{1}$	0.0018	6.64
$λ_{2}$	0.0190	12.23
$λ_{3}$	0.9799	591.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts