V-Lab: E*TRADE Financial Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

E*TRADE Financial Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 5th, 2020:33.44% (-1.70%)

Analysis last updated: Friday, October 2, 2020 at 11:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4526	3.07
$α$	0.1102	7.14
$β$	0.8562	50.97
$γ_{1}$	-0.1130	-2.52
$γ_{2}$	0.1992	3.22
$γ_{3}$	-0.1334	-3.39
$γ_{4}$	0.0735	1.91
$γ_{5}$	-0.0305	-1.03

Estimation Period:
Aug 16, 1996 to Oct 2, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts