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

V-Lab

Dow Jones Utilities Average Asy. MEM Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:16.78% (+0.21%)

Analysis last updated: Saturday, January 15, 2022, 01:53 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0258	34.07
$α$	0.1577	35.33
$β$	0.7858	256.73
$γ$	0.0681	10.45

Estimation Period:
Jan 2, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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

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