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 Thursday, March 23rd, 2023:16.16% (-1.22%)

Analysis last updated: Wednesday, March 22, 2023, 05:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0105	1.99
$β$	0.8083	200.07
$γ$	0.2212	31.65
$λ_{1}$	0.0058	2.46
$λ_{2}$	0.0188	3.23
$λ_{3}$	0.9759	119.58

Estimation Period:
Jan 2, 1990 to Mar 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts