Calpine LLC GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Friday, March 9th, 2018):
1 Day
3.01%
1 Week
3.08%
1 Month
3.33%
Analysis last updated: Monday, March 1, 2021 at 06:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0008 | 1.54 | |
| 0.0315 | 11.97 | |
| 0.9301 | 534.53 | |
| 0.0768 | 13.28 |
Estimation Period:
Jan 11, 2008 to Mar 2, 2018
Jan 11, 2008 to Mar 2, 2018
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