V-Lab: Wachovia Corp APARCH Volatility Analysis

V-Lab

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V-Lab

Wachovia Corp APARCH Volatility Analysis

Volatility Prediction for Thursday, January 1st, 2009:80.65% (-1.37%)

Analysis last updated: Monday, July 14, 2014 at 04:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0495	19.26
$α$	0.1195	23.22
$β$	0.8805	192.37
$γ$	0.2641	13.24
$δ$	1.4069	24.64

Estimation Period:
Jan 2, 1990 to Dec 31, 2008

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts