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 Friday, November 22nd, 2024:9.53% (-0.35%)

Analysis last updated: Thursday, November 21, 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
$β$	0.8479	243.44
$γ$	0.1733	48.84
$λ_{1}$	0.0048	6.26
$λ_{2}$	0.0341	6.47
$λ_{3}$	0.9607	160.67

Estimation Period:
Jan 1, 1990 to Nov 15, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts