V-Lab: Taiwan Stock Exchange Weighted Index MF2-GARCH Volatility Analysis

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V-Lab

Taiwan Stock Exchange Weighted Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 27th, 2024:16.35% (-0.72%)

Analysis last updated: Thursday, December 26, 2024 at 07:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0036	1.10
$β$	0.7606	101.20
$γ$	0.1888	37.08
$λ_{1}$	0.0101	2.53
$λ_{2}$	0.0598	4.57
$λ_{3}$	0.9351	64.41

Estimation Period:
Jan 1, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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