V-Lab: US Bancorp MF2-GARCH Volatility Analysis

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V-Lab

US Bancorp MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:23.10% (-0.43%)

Analysis last updated: Friday, May 17, 2024 at 10:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0398	17.60
$β$	0.8495	210.85
$γ$	0.1192	30.25
$λ_{1}$	0.0084	8.23
$λ_{2}$	0.0440	10.17
$λ_{3}$	0.9536	204.59

Estimation Period:
Jan 2, 1990 to May 17, 2024

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