V-Lab: Lorillard LLC GAS-GARCH Student T Volatility Analysis

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V-Lab

Lorillard LLC GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, June 12th, 2015:13.53% (+0.12%)

Analysis last updated: Monday, March 1, 2021 at 05:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.7438	3.42
$α$	0.0757	15.20
$β$	0.9775	152.83
$ν$	4	7.27

Estimation Period:
Feb 4, 2002 to Jun 5, 2015