V-Lab: Macy's Inc MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Macy's Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 22nd, 2024:43.00% (+1.38%)

Analysis last updated: Tuesday, May 21, 2024 at 09:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0273	12.74
$β$	0.8646	110.66
$γ$	0.0721	14.82
$λ_{1}$	0.0173	2.25
$λ_{2}$	0.0244	3.29
$λ_{3}$	0.9733	113.15

Estimation Period:
Feb 5, 1992 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts