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 Wednesday, September 18th, 2024:9.69% (-0.29%)

Analysis last updated: Tuesday, September 17, 2024 at 04:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.01
$β$	0.8473	243.49
$γ$	0.1745	48.92
$λ_{1}$	0.0049	6.28
$λ_{2}$	0.0341	6.49
$λ_{3}$	0.9607	161.11

Estimation Period:
Jan 1, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts