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 Monday, November 28th, 2022:11.10% (-0.29%)

Analysis last updated: Friday, November 25, 2022, 05:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.0105	1.96
$β$	0.8049	192.55
$γ$	0.2239	31.67
$λ_{1}$	0.0057	2.49
$λ_{2}$	0.0188	3.33
$λ_{3}$	0.9760	123.44

Estimation Period:
Jan 2, 1990 to Nov 25, 2022

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