V-Lab: Capro Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Capro Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:0.00% (0.00%)

Analysis last updated: Tuesday, May 7, 2024 at 10:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3364	1.80
$α$	0.3593	75.62
$β$	0.6373	135.88
$γ_{1}$	0.0414	0.38
$γ_{2}$	-0.1007	-0.50
$γ_{3}$	0.0397	0.24
$γ_{4}$	0.0359	0.31
$γ_{5}$	0.0079	0.09
$γ_{6}$	-0.0827	-1.06
$γ_{7}$	0.1359	2.02
$γ_{8}$	-0.1843	-2.63
$γ_{9}$	0.2755	3.02
$γ_{10}$	-2.7115	-18.42

Estimation Period:
Jan 3, 1990 to May 3, 2024

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Volatility Forecasts

Volatility Forecasts