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

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V-Lab

Shanghai Stock Exchange Composite Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 8th, 2025:12.73% (-0.12%)

Analysis last updated: Friday, December 5, 2025 at 08:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0947	21.45
$β$	0.7680	99.02
$γ$	0.0579	10.47
$λ_{1}$	0.1355	0.83
$λ_{2}$	0.4720	0.82
$λ_{3}$	0.4909	0.78

Estimation Period:
Jan 2, 1991 to Dec 5, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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