V-Lab: McCormick & Co Inc/MD MF2-GARCH Volatility Analysis

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V-Lab

McCormick & Co Inc/MD MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:23.82% (-0.30%)

Analysis last updated: Thursday, May 9, 2024 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0562	14.52
$β$	0.7156	73.14
$γ$	0.1111	15.01
$λ_{1}$	0.0079	1.78
$λ_{2}$	0.0168	2.94
$λ_{3}$	0.9798	141.24

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts