V-Lab: Shanghai Stock Exchange Composite Index MF2-GARCH Volatility Analysis

V-Lab

Shanghai Stock Exchange Composite Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:25.42% (-2.05%)

Analysis last updated: Friday, April 18, 2025 at 08:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.1063	22.90
$β$	0.7709	97.96
$γ$	0.0597	8.81
$λ_{1}$	0.0206	3.71
$λ_{2}$	0.0718	3.90
$λ_{3}$	0.9231	44.75

Estimation Period:
Jan 2, 1991 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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