V-Lab: Dow Jones Industrial Average MF2-GARCH Volatility Analysis

V-Lab

Dow Jones Industrial Average MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 24th, 2022:17.84% (+1.56%)

Analysis last updated: Saturday, January 22, 2022, 02:03 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0000	0.00
$β$	0.8396	225.63
$γ$	0.1970	44.91
$λ_{1}$	0.0193	5.68
$λ_{2}$	0.0980	5.36
$λ_{3}$	0.8817	41.19

Estimation Period:
Jan 1, 1990 to Jan 21, 2022

News Impact Curve

Volatility Forecasts

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Asy. MEM
Asy. Power MEM
GAS-GARCH Student T

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