V-Lab: Cisco Systems Inc GJR-GARCH Volatility Analysis

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V-Lab

Cisco Systems Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:21.46% (-0.29%)

Analysis last updated: Friday, April 26, 2024 at 10:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1229	12.26
$α$	0.0537	21.60
$β$	0.8905	368.90
$γ$	0.0802	9.82

Estimation Period:
Feb 19, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts