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 Thursday, April 18th, 2024:41.14% (+7.65%)

Analysis last updated: Thursday, April 18, 2024 at 10:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6548	6.82
$α$	0.1588	8.44
$β$	0.7183	23.36
$γ_{1}$	-0.0401	-1.11
$γ_{2}$	0.1096	2.09
$γ_{3}$	-0.1734	-4.70
$γ_{4}$	0.1353	3.64
$γ_{5}$	-0.0006	-0.02
$γ_{6}$	-0.0709	-1.49
$γ_{7}$	0.0675	1.20
$γ_{8}$	-0.0404	-0.58
$γ_{9}$	0.0197	0.30

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts