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, April 21st, 2025:28.35% (-1.93%)

Analysis last updated: Friday, April 18, 2025 at 12:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0113	4.26
$β$	0.8431	225.00
$γ$	0.1507	36.93
$λ_{1}$	0.0036	6.31
$λ_{2}$	0.0433	7.92
$λ_{3}$	0.9528	156.96

Estimation Period:
Jan 2, 1990 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts