V-Lab: Lehman Brothers APARCH Volatility Analysis

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V-Lab

Lehman Brothers APARCH Volatility Analysis

Volatility Prediction for Tuesday, March 6th, 2012:323.35% (-3.99%)

Analysis last updated: Monday, November 10, 2014 at 03:27 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0246	5.21
$α$	0.0182	7.36
$β$	0.9662	278.92
$γ$	0.3442	14.04
$δ$	2.8014	21.79

Estimation Period:
May 2, 1994 to Mar 5, 2012

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts