ITC Holdings Corp GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Friday, October 14th, 2016):
1 Day
16.01%
1 Week
16.50%
1 Month
18.10%
Analysis last updated: Monday, March 1, 2021 at 07:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0547 | 13.72 | |
| 0.0303 | 9.87 | |
| 0.8943 | 238.04 | |
| 0.1070 | 11.20 |
Estimation Period:
Jul 26, 2005 to Oct 7, 2016
Jul 26, 2005 to Oct 7, 2016
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