V-Lab: JPMorgan Chase & Co MF2-GARCH Volatility Analysis

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V-Lab

JPMorgan Chase & Co MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:21.97% (-0.65%)

Analysis last updated: Thursday, May 9, 2024 at 10:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0214	10.61
$β$	0.8919	243.90
$γ$	0.1137	29.00
$λ_{1}$	0.0127	12.02
$λ_{2}$	0.0264	8.23
$λ_{3}$	0.9706	273.87

Estimation Period:
Jan 2, 1990 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts