V-Lab: Mylan NV MF2-GARCH Volatility Analysis

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V-Lab

Mylan NV MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 20th, 2020:33.30% (-1.07%)

Analysis last updated: Sunday, March 21, 2021 at 05:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0564	15.07
$β$	0.7200	67.62
$γ$	0.1125	12.89
$λ_{1}$	0.0370	1.61
$λ_{2}$	0.0235	2.28
$λ_{3}$	0.9701	73.90

Estimation Period:
Jan 2, 1990 to Nov 19, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts