Gazprom PAO MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, June 5th, 2025
1 Day
0.00%
unchanged at 0.00%
Analysis last updated: Thursday, June 5, 2025 at 11:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 21 | ||
| 0.7500 | 7,499,900.00 | |
| 0.0000 | 100.00 | |
| 0.5000 | 5,000,000.00 | |
| 0.0000 | 10.00 | |
| 0.8415 | 8,415,150.00 | |
| 0.1585 | 1,584,850.00 |
Estimation Period:
Jan 24, 2006 to May 30, 2025
Jan 24, 2006 to May 30, 2025
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