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 Tuesday, May 6th, 2025:15.29% (-0.57%)

Analysis last updated: Tuesday, May 6, 2025 at 01:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0113	4.25
$β$	0.8399	219.34
$γ$	0.1524	37.12
$λ_{1}$	0.0037	6.18
$λ_{2}$	0.0439	7.83
$λ_{3}$	0.9520	152.29

Estimation Period:
Jan 2, 1990 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts