V-Lab: Citigroup Inc GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Citigroup Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:25.73% (-0.69%)

Analysis last updated: Thursday, April 18, 2024 at 10:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0270	12.76
$α$	0.0284	16.29
$β$	0.9383	611.29
$γ$	0.0614	15.56

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

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Volatility Forecasts