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, June 2nd, 2025:10.89% (-0.28%)

Analysis last updated: Saturday, May 31, 2025 at 02:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0121	4.55
$β$	0.8381	221.32
$γ$	0.1539	37.48
$λ_{1}$	0.0035	6.27
$λ_{2}$	0.0423	8.05
$λ_{3}$	0.9537	162.53

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts