V-Lab: Dow Jones Transportation Average MF2-GARCH Volatility Analysis

V-Lab

Dow Jones Transportation Average MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, July 7th, 2025:20.55% (-0.53%)

Analysis last updated: Thursday, July 3, 2025 at 09:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0244	9.16
$β$	0.8867	235.02
$γ$	0.0984	21.13
$λ_{1}$	0.0088	6.88
$λ_{2}$	0.0169	6.76
$λ_{3}$	0.9786	311.34

Estimation Period:
Jan 2, 1990 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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