V-Lab: Cummins Inc MF2-GARCH Volatility Analysis

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V-Lab

Cummins Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 21st, 2024:23.96% (-0.92%)

Analysis last updated: Monday, May 20, 2024 at 09:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0486	14.74
$β$	0.8250	96.55
$γ$	0.0681	15.25
$λ_{1}$	0.0247	2.74
$λ_{2}$	0.0345	3.47
$λ_{3}$	0.9602	81.46

Estimation Period:
Jan 2, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts