V-Lab: Freddie Mac GAS-GARCH Student T Volatility Analysis

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V-Lab

Freddie Mac GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Monday, September 8th, 2008:191.83% (-8.93%)

Analysis last updated: Monday, March 1, 2021 at 07:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	6.1102	4.85
$α$	0.0647	31.50
$β$	0.9955	1219.95
$ν$	8	5.54

Estimation Period:
Jan 2, 1990 to Sep 5, 2008