V-Lab: Falabella Peru SAA MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Falabella Peru SAA MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:5.50% (0.00%)

Analysis last updated: Friday, May 3, 2024 at 12:56 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0246	2.71
$β$	0.9875	182.93
$γ$	-0.0246	-3.22
$λ_{1}$	0.2818	0.19
$λ_{2}$	0.0000	0.00
$λ_{3}$	0.9544	5.80

Estimation Period:
Jul 1, 2008 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts