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 Monday, June 5th, 2023:13.87% (-0.31%)

Analysis last updated: Saturday, June 3, 2023 at 04:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0123	5.41
$β$	0.8554	275.85
$γ$	0.1439	39.56
$λ_{1}$	0.0069	7.17
$λ_{2}$	0.0867	9.57
$λ_{3}$	0.9056	89.42

Estimation Period:
Jan 2, 1990 to Jun 2, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts