V-Lab: Dow Jones Transportation Average Asy. MEM Volatility Analysis

V-Lab

Dow Jones Transportation Average Asy. MEM Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:20.17% (-1.23%)

Analysis last updated: Saturday, August 13, 2022, 12:38 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0326	26.64
$α$	0.0814	30.62
$β$	0.8508	391.54
$γ$	0.1002	18.63

Estimation Period:
Jan 2, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

Other Dow Jones Transportation Average Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
MEM
GAS-GARCH Student T
MF2-GARCH

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