V-Lab: Sarajevo Stock Exchange Index 30 MF2-GARCH Volatility Analysis

V-Lab

Sarajevo Stock Exchange Index 30 MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 18th, 2025:1.19% (-23.40%)

Analysis last updated: Saturday, April 19, 2025 at 12:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.7349	7,348,810.00
$β$	0.0151	151,190.00
$γ$	0.5000	5,000,000.00
$λ_{1}$	4.3497	8.81
$λ_{2}$	0.6440	8.57
$λ_{3}$	0.0000	0.00

Estimation Period:
Feb 15, 2010 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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