V-Lab: VF Corp MF2-GARCH Volatility Analysis

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V-Lab

VF Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:37.88% (-0.61%)

Analysis last updated: Thursday, May 16, 2024 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0287	13.55
$β$	0.8499	122.86
$γ$	0.0941	19.02
$λ_{1}$	0.0283	2.89
$λ_{2}$	0.0272	3.52
$λ_{3}$	0.9649	97.74

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts