V-Lab
Fannie Mae GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, September 8th, 2008:183.43% (-4.45%)
Analysis last updated: Monday, March 1, 2021 at 08:06 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0391 | 9.36 | |
| 0.0132 | 6.50 | |
| 0.9449 | 391.08 | |
| 0.0695 | 15.28 |
Estimation Period:
Jan 2, 1990 to Sep 5, 2008
Jan 2, 1990 to Sep 5, 2008