Credit Suisse Group AG GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, June 12th, 2023):
1 Day
36.18%
1 Week
36.25%
1 Month
36.52%
Analysis last updated: Friday, June 9, 2023 at 10:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0709 | 18.50 | |
| 0.0384 | 17.52 | |
| 0.9132 | 501.19 | |
| 0.0737 | 13.18 |
Estimation Period:
Aug 27, 1993 to Jun 9, 2023
Aug 27, 1993 to Jun 9, 2023
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