V-Lab: Criteo SA GJR-GARCH Volatility Analysis

V-Lab

Criteo SA GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 21st, 2025:60.51% (-0.35%)

Analysis last updated: Tuesday, May 20, 2025 at 09:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0965	6.27
$α$	0.0000	0.00
$β$	0.9744	377.54
$γ$	0.0323	9.92

Estimation Period:
Oct 30, 2013 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts