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 Wednesday, March 19th, 2025:15.30% (-1.15%)

Analysis last updated: Tuesday, March 18, 2025 at 06:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.0095	1.85
$β$	0.8041	192.19
$γ$	0.2200	32.62
$λ_{1}$	0.0057	2.43
$λ_{2}$	0.0195	3.24
$λ_{3}$	0.9750	115.62

Estimation Period:
Jan 2, 1990 to Mar 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts