V-Lab: American Express Co MF2-GARCH Volatility Analysis

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V-Lab

American Express Co MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:32.97% (-1.26%)

Analysis last updated: Friday, December 20, 2024 at 11:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0093	6.14
$β$	0.8856	285.21
$γ$	0.1353	37.09
$λ_{1}$	0.0114	7.62
$λ_{2}$	0.0292	6.38
$λ_{3}$	0.9682	192.98

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts