V-Lab: Li & Fung Ltd MF2-GARCH Volatility Analysis

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V-Lab

Li & Fung Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 18th, 2020:46.25% (-1.55%)

Analysis last updated: Sunday, March 21, 2021 at 05:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.1760	23.93
$β$	0.5723	42.47
$γ$	-0.0274	-2.48
$λ_{1}$	0.0305	1.59
$λ_{2}$	0.0127	1.78
$λ_{3}$	0.9833	111.35

Estimation Period:
Jul 1, 1992 to May 15, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts