V-Lab: Dow Jones Industrial Average Asy. Power MEM Volatility Analysis

V-Lab

Dow Jones Industrial Average Asy. Power MEM Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:10.86% (-0.05%)

Analysis last updated: Saturday, August 13, 2022, 12:32 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0283	36.74
$α$	0.1973	61.46
$β$	0.7888	243.22
$γ$	0.2933	37.95
$δ$	0.9885	32.08

Estimation Period:
Jan 1, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

Other Dow Jones Industrial Average Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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