V-Lab
V-Lab
ITC Holdings Corp GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, October 14th, 2016:16.01% (+0.89%)

Analysis last updated: Monday, March 1, 2021 at 07:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ITC Holdings Corp GJR-GARCH
paramt-stat
ω0.054713.72
α0.03039.87
β0.8943238.04
γ0.107011.20
Estimation Period:
Jul 26, 2005 to Oct 7, 2016
Impact of return on volatility tomorrow
Volatility Forecasts