Freddie Mac GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, September 8th, 2008):
1 Day
187.27%
1 Week
187.01%
1 Month
186.01%
Analysis last updated: Monday, March 1, 2021 at 06:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0214 | 8.20 | |
| 0.0193 | 8.75 | |
| 0.9484 | 377.70 | |
| 0.0616 | 13.27 |
Estimation Period:
Jan 2, 1990 to Sep 5, 2008
Jan 2, 1990 to Sep 5, 2008
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