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, January 22nd, 2025:8.53% (-0.16%)

Analysis last updated: Tuesday, January 21, 2025 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
$β$	0.8484	244.13
$γ$	0.1727	48.85
$λ_{1}$	0.0049	6.27
$λ_{2}$	0.0340	6.45
$λ_{3}$	0.9608	160.58

Estimation Period:
Jan 1, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts