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 Tuesday, December 5th, 2023:9.41% (-0.19%)

Analysis last updated: Monday, December 4, 2023 at 06:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0101	1.92
$β$	0.8078	197.99
$γ$	0.2197	31.72
$λ_{1}$	0.0057	2.39
$λ_{2}$	0.0196	3.18
$λ_{3}$	0.9751	113.78

Estimation Period:
Jan 2, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts