Freddie Mac Zero Slope Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, September 8th, 2008):
1 Day
178.62%
1 Week
177.77%
1 Month
174.44%
Analysis last updated: Monday, March 1, 2021 at 03:43 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 1.1405 | 5.69 | |
| 0.0570 | 5.53 | |
| 0.9380 | 80.04 | |
| 0.0009 | 0.61 |
Estimation Period:
Jan 2, 1990 to Sep 5, 2008
Jan 2, 1990 to Sep 5, 2008
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