V-Lab: Borgwarner Jersey Ltd MF2-GARCH Volatility Analysis

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V-Lab

Borgwarner Jersey Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, October 2nd, 2020:47.37% (-1.37%)

Analysis last updated: Sunday, March 21, 2021 at 08:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$m$	106
$α$	0.0000	0.00
$β$	0.8668	87.90
$γ$	0.1920	15.12
$λ_{1}$	8.5447	0.14
$λ_{2}$	0.0000	0.00
$λ_{3}$	0.5669	0.19

Estimation Period:
Nov 21, 2017 to Oct 1, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts