V-Lab: Citigroup Inc Asy. MEM Volatility Analysis

V-Lab

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V-Lab

Citigroup Inc Asy. MEM Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:22.90% (-0.08%)

Analysis last updated: Wednesday, May 8, 2024 at 09:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0450	4.54
$α$	0.1378	21.92
$β$	0.8156	250.18
$γ$	0.0861	6.58

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts