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 Monday, June 30th, 2025:9.15% (-0.22%)

Analysis last updated: Saturday, June 28, 2025 at 01:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0128	4.81
$β$	0.8390	225.24
$γ$	0.1537	37.52
$λ_{1}$	0.0035	6.41
$λ_{2}$	0.0420	8.15
$λ_{3}$	0.9539	165.59

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts