V-Lab: FTSE 100 Index MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

FTSE 100 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:11.82% (-0.50%)

Analysis last updated: Friday, December 20, 2024 at 05:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.01
$β$	0.8481	244.05
$γ$	0.1731	48.94
$λ_{1}$	0.0047	6.25
$λ_{2}$	0.0341	6.49
$λ_{3}$	0.9608	161.47

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts