V-Lab: Van Lanschot Kempen NV MF2-GARCH Volatility Analysis

V-Lab

Van Lanschot Kempen NV MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 19th, 2025:25.81% (-0.77%)

Analysis last updated: Thursday, June 19, 2025 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.0612	7.33
$β$	0.5577	9.90
$γ$	0.0973	5.93
$λ_{1}$	0.4898	0.26
$λ_{2}$	0.0481	0.27
$λ_{3}$	0.8074	1.10

Estimation Period:
Aug 22, 2018 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts