V-Lab: Cummins Inc MF2-GARCH Volatility Analysis

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V-Lab

Cummins Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:29.20% (+8.83%)

Analysis last updated: Tuesday, April 30, 2024 at 10:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0491	14.85
$β$	0.8241	96.83
$γ$	0.0688	15.30
$λ_{1}$	0.0243	2.75
$λ_{2}$	0.0344	3.52
$λ_{3}$	0.9604	82.91

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts