V-Lab: S&P/TSX 60 Index MF2-GARCH Volatility Analysis

V-Lab

S&P/TSX 60 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 20th, 2022:19.81% (-1.25%)

Analysis last updated: Friday, May 20, 2022, 08:38 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0132	5.72
$β$	0.8553	267.53
$γ$	0.1409	37.90
$λ_{1}$	0.0069	7.14
$λ_{2}$	0.0911	10.00
$λ_{3}$	0.9013	88.64

Estimation Period:
Jan 2, 1990 to May 6, 2022

News Impact Curve

Volatility Forecasts

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