V-Lab: E*TRADE Financial Corp MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

E*TRADE Financial Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, October 5th, 2020:34.74% (-2.19%)

Analysis last updated: Sunday, March 21, 2021 at 05:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0772	13.32
$β$	0.7625	65.79
$γ$	0.1127	16.18
$λ_{1}$	0.0755	3.91
$λ_{2}$	0.0720	3.88
$λ_{3}$	0.9222	45.43

Estimation Period:
Aug 16, 1996 to Oct 2, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts