V-Lab: Procter & Gamble Co/The MF2-GARCH Volatility Analysis

V-Lab

Procter & Gamble Co/The MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 20th, 2025:21.18% (-0.83%)

Analysis last updated: Wednesday, June 18, 2025 at 11:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0286	12.30
$β$	0.8043	88.82
$γ$	0.1145	23.27
$λ_{1}$	0.0139	2.46
$λ_{2}$	0.0495	2.76
$λ_{3}$	0.9421	45.44

Estimation Period:
Jan 2, 1990 to Jun 18, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts