V-Lab: IBEX 35 Index MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

IBEX 35 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:15.89% (-0.53%)

Analysis last updated: Thursday, April 18, 2024 at 03:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	111
$α$	0.0228	6.73
$β$	0.8696	363.55
$γ$	0.1335	31.95
$λ_{1}$	0.0079	8.19
$λ_{2}$	0.0139	5.29
$λ_{3}$	0.9812	306.63

Estimation Period:
Jan 2, 1990 to Apr 12, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts