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 Monday, April 29th, 2024:23.63% (-1.93%)

Analysis last updated: Friday, April 26, 2024 at 07:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0047	1.43
$β$	0.7690	103.22
$γ$	0.1825	35.68
$λ_{1}$	0.0097	2.60
$λ_{2}$	0.0584	4.64
$λ_{3}$	0.9367	67.24

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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