V-Lab: JPMorgan Chase & Co MF2-GARCH Volatility Analysis

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V-Lab

JPMorgan Chase & Co MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:29.06% (-1.21%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0212	10.53
$β$	0.8926	245.35
$γ$	0.1137	29.08
$λ_{1}$	0.0128	12.05
$λ_{2}$	0.0266	8.18
$λ_{3}$	0.9704	270.46

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

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