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 Wednesday, April 16th, 2025:32.42% (-2.22%)

Analysis last updated: Wednesday, April 16, 2025 at 04:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0115	4.35
$β$	0.8433	226.20
$γ$	0.1507	36.93
$λ_{1}$	0.0036	6.34
$λ_{2}$	0.0433	7.95
$λ_{3}$	0.9528	157.62

Estimation Period:
Jan 2, 1990 to Apr 11, 2025

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Volatility Forecasts

Volatility Forecasts