V-Lab: Tadawul All Share TASI Index MF2-GARCH Volatility Analysis

V-Lab

Tadawul All Share TASI Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 30th, 2025:14.04% (-0.06%)

Analysis last updated: Monday, June 30, 2025 at 10:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0508	9.00
$β$	0.6771	57.58
$γ$	0.2510	22.36
$λ_{1}$	0.0644	3.67
$λ_{2}$	0.1654	4.31
$λ_{3}$	0.7963	17.00

Estimation Period:
Oct 19, 1998 to Jun 26, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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