V-Lab: CME Group Inc/IL Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

CME Group Inc/IL Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:16.57% (-0.23%)

Analysis last updated: Wednesday, May 1, 2024 at 09:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2068	6.84
$α$	0.1115	7.43
$β$	0.8231	41.09
$γ_{1}$	-0.0054	-0.32
$γ_{2}$	-0.0098	-0.39
$γ_{3}$	0.0536	2.71
$γ_{4}$	-0.0814	-2.77

Estimation Period:
Dec 6, 2002 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts