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 Friday, August 22nd, 2025:8.52% (-0.14%)

Analysis last updated: Friday, August 22, 2025 at 01:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0130	4.95
$β$	0.8379	222.84
$γ$	0.1553	37.82
$λ_{1}$	0.0035	6.45
$λ_{2}$	0.0419	8.23
$λ_{3}$	0.9541	167.80

Estimation Period:
Jan 2, 1990 to Aug 15, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts