ITC Holdings Corp EGARCH Volatility Analysis
Inactive
Last recorded values (Friday, October 14th, 2016):
1 Day
16.22%
1 Week
16.64%
1 Month
18.19%
Analysis last updated: Monday, March 1, 2021 at 06:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0269 | 5.18 | |
| 0.1669 | 28.89 | |
| 0.9751 | 399.95 | |
| -0.0711 | -9.63 |
Estimation Period:
Jul 26, 2005 to Oct 7, 2016
Jul 26, 2005 to Oct 7, 2016
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