V-Lab: Procter & Gamble Co/The GJR-GARCH Volatility Analysis

V-Lab

Procter & Gamble Co/The GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:25.44% (-0.79%)

Analysis last updated: Thursday, May 8, 2025 at 09:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0234	14.47
$α$	0.0299	16.21
$β$	0.9268	488.32
$γ$	0.0638	13.76

Estimation Period:
Jan 2, 1990 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts