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

V-Lab

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V-Lab

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

Volatility Prediction for Tuesday, September 17th, 2024:0.00% (-7.68%)

Analysis last updated: Tuesday, September 17, 2024 at 11:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.7500	7499900.00
$β$	0.0000	100.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.2930	8.02
$λ_{2}$	0.6318	15.61
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts