V-Lab: Lehman Brothers GAS-GARCH Student T Volatility Analysis

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V-Lab

Lehman Brothers GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Tuesday, March 6th, 2012:12.72% (-2.36%)

Analysis last updated: Monday, March 1, 2021 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	62.2569	0.48
$α$	0.1426	85.91
$β$	0.9990	484.25
$ν$	2	19230.78

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