V-Lab: Pepco Holdings LLC APARCH Volatility Analysis

V-Lab

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V-Lab

Pepco Holdings LLC APARCH Volatility Analysis

Volatility Prediction for Thursday, March 24th, 2016:122.46% (+81.69%)

Analysis last updated: Wednesday, March 23, 2016 at 09:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1615	5.41
$α$	0.1276	11.30
$β$	0.7820	44.96
$γ$	0.1414	5.50
$δ$	2.0256	10.20

Estimation Period:
Jan 2, 1990 to Mar 18, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts