V-Lab: Swiss Market Index MF2-GARCH Volatility Analysis

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V-Lab

Swiss Market Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:14.16% (-1.00%)

Analysis last updated: Thursday, November 21, 2024 at 06:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0102	1.97
$β$	0.8078	200.39
$γ$	0.2181	32.16
$λ_{1}$	0.0057	2.43
$λ_{2}$	0.0193	3.20
$λ_{3}$	0.9752	115.28

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts