V-Lab: NPC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

NPC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:40.66% (+0.76%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8381	6.56
$α$	0.0992	8.68
$β$	0.8654	51.03
$γ_{1}$	-0.0068	-0.20
$γ_{2}$	0.0219	0.41
$γ_{3}$	-0.1087	-2.66
$γ_{4}$	0.2011	4.49
$γ_{5}$	-0.1787	-3.13
$γ_{6}$	0.0906	1.42
$γ_{7}$	0.0340	0.66
$γ_{8}$	-0.0946	-2.85

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

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Volatility Forecasts

Volatility Forecasts