Confidence level | Historical volatility | Implied volatility | EGARCH | AR (2) |
90% | 392 (66%) | 406 (68%) | 116 (19%) | 266 (45%) |
95% | 357 (60%) | 364 (61%) | 76 (13%) | 217 (36%) |
99% | 296 (50%) | 284 (48%) | 33 (6%) | 142 (24%) |
Average coefficient | 0.476 | 0.080 | 0.006 | −0.036 |