V-Lab: China Tourism Grp Duty Free MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

China Tourism Grp Duty Free MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:61.11% (+8.44%)

Analysis last updated: Sunday, May 19, 2024 at 12:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2564	2.32
$β$	0.0116	0.29
$γ$	-0.2564	-2.31
$λ_{1}$	1.7147	0.08
$λ_{2}$	0.0484	0.17
$λ_{3}$	0.7680	0.32

Estimation Period:
Aug 25, 2022 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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