V-Lab: Jefferies Financial Group Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Jefferies Financial Group Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:27.30% (-1.61%)

Analysis last updated: Friday, April 26, 2024 at 10:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9849	3.99
$α$	0.1013	7.59
$β$	0.8370	39.33
$γ_{1}$	-0.0399	-1.49
$γ_{2}$	0.1075	2.59
$γ_{3}$	-0.1652	-4.00
$γ_{4}$	0.2234	4.85
$γ_{5}$	-0.2425	-6.48
$γ_{6}$	0.1768	6.02
$γ_{7}$	-0.0462	-1.46
$γ_{8}$	-0.0868	-2.19

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts