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

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V-Lab

JPMorgan Chase & Co Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:20.73% (-0.46%)

Analysis last updated: Monday, May 6, 2024 at 09:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0645	7.50
$α$	0.0791	8.11
$β$	0.8955	76.78
$γ_{1}$	-0.0347	-0.99
$γ_{2}$	0.1177	1.98
$γ_{3}$	-0.2236	-4.77
$γ_{4}$	0.2889	7.95
$γ_{5}$	-0.2482	-6.70
$γ_{6}$	0.1364	3.34
$γ_{7}$	-0.0243	-0.51
$γ_{8}$	-0.0463	-0.54

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts