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 Friday, February 3rd, 2023:10.46% (-0.20%)

Analysis last updated: Friday, February 3, 2023, 05:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0121	5.29
$β$	0.8542	270.15
$γ$	0.1440	39.21
$λ_{1}$	0.0070	7.05
$λ_{2}$	0.0918	9.98
$λ_{3}$	0.9006	87.76

Estimation Period:
Jan 2, 1990 to Nov 25, 2022

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