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 Tuesday, July 29th, 2025:7.96% (+0.13%)

Analysis last updated: Tuesday, July 29, 2025 at 01:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0125	4.72
$β$	0.8389	224.24
$γ$	0.1539	37.55
$λ_{1}$	0.0036	6.36
$λ_{2}$	0.0435	8.00
$λ_{3}$	0.9523	157.00

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts