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

V-Lab

Russell 2000 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 16th, 2025:45.53% (-3.41%)

Analysis last updated: Tuesday, April 15, 2025 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0227	9.06
$β$	0.8441	279.78
$γ$	0.1523	41.59
$λ_{1}$	0.0010	5.78
$λ_{2}$	0.0141	13.32
$λ_{3}$	0.9854	878.21

Estimation Period:
Jan 1, 1990 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts