V-Lab: JPMorgan Chase & Co Spline-GARCH Volatility Analysis

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V-Lab

JPMorgan Chase & Co Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:25.55% (-1.11%)

Analysis last updated: Friday, April 26, 2024 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0628	7.43
$α$	0.0791	8.13
$β$	0.8959	77.26
$γ_{1}$	-0.0356	-1.01
$γ_{2}$	0.1192	1.99
$γ_{3}$	-0.2247	-4.76
$γ_{4}$	0.2897	7.89
$γ_{5}$	-0.2482	-6.60
$γ_{6}$	0.1359	3.29
$γ_{7}$	-0.0246	-0.51
$γ_{8}$	-0.0423	-0.50

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

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