V-Lab: Nordea Bank Abp MF2-GARCH Volatility Analysis

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V-Lab

Nordea Bank Abp MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 9th, 2024:23.92% (+4.78%)

Analysis last updated: Saturday, September 7, 2024 at 09:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0342	14.37
$β$	0.8519	183.83
$γ$	0.1247	23.52
$λ_{1}$	0.0286	4.58
$λ_{2}$	0.0296	4.96
$λ_{3}$	0.9624	125.30

Estimation Period:
Jan 31, 2000 to Sep 6, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts