V-Lab: Northrop Grumman Corp MF2-GARCH Volatility Analysis

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V-Lab

Northrop Grumman Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:20.73% (-0.82%)

Analysis last updated: Tuesday, April 30, 2024 at 10:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0414	15.05
$β$	0.8042	98.42
$γ$	0.0905	15.51
$λ_{1}$	0.0087	1.61
$λ_{2}$	0.0215	2.73
$λ_{3}$	0.9754	101.62

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts