V-Lab
V-Lab
S&P/TSX Composite Index MF2-GARCH Volatility Analysis
Volatility Prediction for Monday, June 5th, 2023:13.28% (-0.26%)

Analysis last updated: Friday, June 2, 2023 at 08:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P/TSX Composite Index MF2-GARCH
paramt-stat
m41
α0.01755.67
β0.8299211.87
γ0.159835.28
λ10.00336.55
λ20.04638.77
λ30.9495160.22
Estimation Period:
Jan 1, 1990 to Jun 2, 2023
Impact of return on volatility tomorrow
Volatility Forecasts