V-Lab: SG Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SG Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:38.63% (-2.41%)

Analysis last updated: Sunday, April 21, 2024 at 12:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6549	6.83
$α$	0.1587	8.44
$β$	0.7182	23.41
$γ_{1}$	-0.0393	-1.09
$γ_{2}$	0.1081	2.07
$γ_{3}$	-0.1721	-4.68
$γ_{4}$	0.1346	3.63
$γ_{5}$	-0.0003	-0.01
$γ_{6}$	-0.0713	-1.49
$γ_{7}$	0.0679	1.19
$γ_{8}$	-0.0406	-0.58
$γ_{9}$	0.0198	0.30

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts