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 Wednesday, November 20th, 2024:9.24% (-0.30%)

Analysis last updated: Wednesday, November 20, 2024 at 11:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0115	5.06
$β$	0.8584	278.42
$γ$	0.1421	39.52
$λ_{1}$	0.0058	6.69
$λ_{2}$	0.0721	8.09
$λ_{3}$	0.9210	92.40

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts