V-Lab: Walt Disney Co/The MF2-GARCH Volatility Analysis

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V-Lab

Walt Disney Co/The MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 30th, 2024:22.32% (-0.01%)

Analysis last updated: Friday, December 27, 2024 at 11:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0372	16.90
$β$	0.8755	168.10
$γ$	0.0546	11.35
$λ_{1}$	0.0239	3.05
$λ_{2}$	0.0427	6.47
$λ_{3}$	0.9502	110.63

Estimation Period:
Jan 2, 1990 to Dec 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts