V-Lab: YG PLUS GJR-GARCH Volatility Analysis

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V-Lab

YG PLUS GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:35.08% (-0.78%)

Analysis last updated: Thursday, April 18, 2024 at 10:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4976	17.47
$α$	0.0962	14.98
$β$	0.8592	155.89
$γ$	0.0067	0.59

Estimation Period:
Aug 1, 2003 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts