V-Lab: Citigroup Inc MF2-GARCH Volatility Analysis

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V-Lab

Citigroup Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:23.72% (+0.53%)

Analysis last updated: Tuesday, May 7, 2024 at 09:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0233	11.30
$β$	0.8783	226.72
$γ$	0.1117	28.84
$λ_{1}$	0.0075	5.73
$λ_{2}$	0.0309	5.88
$λ_{3}$	0.9678	170.42

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts