V-Lab: Union Steel GJR-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Union Steel GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, December 26th, 2014:35.53% (+0.62%)

Analysis last updated: Monday, March 1, 2021 at 08:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4041	20.71
$α$	0.1796	21.28
$β$	0.8148	174.55
$γ$	-0.0473	-3.67

Estimation Period:
Jan 3, 1990 to Dec 24, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts