V-Lab: ITC Holdings Corp GAS-GARCH Student T Volatility Analysis

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V-Lab

ITC Holdings Corp GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, October 14th, 2016:15.15% (+0.72%)

Analysis last updated: Monday, March 1, 2021 at 06:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1114	4.24
$α$	0.0654	26.49
$β$	0.9879	337.62
$ν$	5	5.95

Estimation Period:
Jul 26, 2005 to Oct 7, 2016