V-Lab: NiSource Inc MF2-GARCH Volatility Analysis

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V-Lab

NiSource Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:15.25% (+0.48%)

Analysis last updated: Thursday, May 2, 2024 at 10:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0478	15.44
$β$	0.7671	93.21
$γ$	0.1187	19.80
$λ_{1}$	0.0268	2.75
$λ_{2}$	0.0838	2.89
$λ_{3}$	0.9016	25.91

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts