V-Lab: Nordstrom Inc MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Nordstrom Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:48.06% (-0.65%)

Analysis last updated: Friday, May 17, 2024 at 10:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0306	11.02
$β$	0.8026	121.40
$γ$	0.1094	22.00
$λ_{1}$	0.1586	1.49
$λ_{2}$	0.1919	2.47
$λ_{3}$	0.7921	9.04

Estimation Period:
Jan 2, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts