V-Lab: Kraft Foods Group Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Kraft Foods Group Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 6th, 2015:20.85% (-22.99%)

Analysis last updated: Friday, April 29, 2016 at 05:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1771	5.87
$α$	0.5119	2.56
$β$	0.1369	1.27
$γ_{1}$	0.0003	0.01

Estimation Period:
Sep 17, 2012 to Jul 2, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts