V-Lab: Nordstrom Inc MF2-GARCH Volatility Analysis

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V-Lab

Nordstrom Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:51.38% (-1.21%)

Analysis last updated: Friday, May 3, 2024 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0305	10.96
$β$	0.8017	121.25
$γ$	0.1092	21.97
$λ_{1}$	0.1615	1.47
$λ_{2}$	0.1980	2.49
$λ_{3}$	0.7861	8.76

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts