V-Lab: Dow Jones Composite Average Asy. MEM Volatility Analysis

V-Lab

Dow Jones Composite Average Asy. MEM Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:14.93% (+0.27%)

Analysis last updated: Saturday, January 15, 2022, 01:53 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0218	28.92
$α$	0.2876	35.44
$β$	0.6498	142.63
$γ$	0.0900	7.88

Estimation Period:
Jan 1, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

Other Dow Jones Composite Average Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
MEM
GAS-GARCH Student T
MF2-GARCH

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