V-Lab: NiSource Inc MF2-GARCH Volatility Analysis

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V-Lab

NiSource Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:14.34% (-0.41%)

Analysis last updated: Thursday, May 16, 2024 at 10:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0477	15.40
$β$	0.7672	93.36
$γ$	0.1188	19.82
$λ_{1}$	0.0269	2.75
$λ_{2}$	0.0843	2.89
$λ_{3}$	0.9010	25.73

Estimation Period:
Jan 2, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts