V-Lab: Raytheon Co MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Raytheon Co MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 6th, 2020:92.28% (-7.27%)

Analysis last updated: Tuesday, August 9, 2022 at 05:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0296	12.28
$β$	0.8450	134.85
$γ$	0.1064	22.27
$λ_{1}$	0.0092	2.54
$λ_{2}$	0.0401	5.36
$λ_{3}$	0.9564	107.31

Estimation Period:
Jan 1, 1990 to Apr 3, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts