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 Monday, December 23rd, 2024:31.66% (-1.98%)

Analysis last updated: Friday, December 20, 2024 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0227	8.96
$β$	0.8430	275.93
$γ$	0.1527	41.33
$λ_{1}$	0.0011	5.82
$λ_{2}$	0.0147	13.17
$λ_{3}$	0.9847	835.24

Estimation Period:
Jan 1, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts