V-Lab: JGC Holdings Corp MF2-GARCH Volatility Analysis

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V-Lab

JGC Holdings Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:84.76% (+45.17%)

Analysis last updated: Thursday, May 2, 2024 at 10:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0618	17.50
$β$	0.7812	108.64
$γ$	0.0905	17.73
$λ_{1}$	0.0558	3.05
$λ_{2}$	0.0374	3.36
$λ_{3}$	0.9536	66.95

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts