V-Lab: CJ Corp MF2-GARCH Volatility Analysis

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V-Lab

CJ Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:51.27% (+6.70%)

Analysis last updated: Tuesday, November 12, 2024 at 09:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0857	22.27
$β$	0.8617	96.85
$γ$	-0.0033	-0.86
$λ_{1}$	0.0297	3.11
$λ_{2}$	0.0300	3.32
$λ_{3}$	0.9658	91.33

Estimation Period:
Jan 3, 1990 to Nov 8, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts