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, December 27th, 2024:15.95% (-1.23%)

Analysis last updated: Monday, December 23, 2024 at 06:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0103	2.00
$β$	0.8064	197.42
$γ$	0.2186	32.26
$λ_{1}$	0.0057	2.42
$λ_{2}$	0.0196	3.19
$λ_{3}$	0.9749	113.36

Estimation Period:
Jan 2, 1990 to Dec 23, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts