V-Lab: Wachovia Corp GJR-GARCH Volatility Analysis

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V-Lab

Wachovia Corp GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 1st, 2009:87.46% (-3.06%)

Analysis last updated: Monday, March 1, 2021 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0494	16.90
$α$	0.0801	21.66
$β$	0.8748	268.10
$γ$	0.0838	6.93

Estimation Period:
Jan 2, 1990 to Dec 31, 2008

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts