V-Lab: Morgan Stanley GJR-GARCH Volatility Analysis

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V-Lab

Morgan Stanley GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:29.61% (-0.92%)

Analysis last updated: Wednesday, April 24, 2024 at 09:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0619	14.04
$α$	0.0245	14.05
$β$	0.9240	587.44
$γ$	0.0851	16.59

Estimation Period:
Feb 23, 1993 to Apr 19, 2024

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