V-Lab: WillBes & Co/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

WillBes & Co/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:30.42% (-0.63%)

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
$ω$	0.7183	7.34
$α$	0.1286	7.02
$β$	0.8110	35.08
$γ_{1}$	0.0251	1.11
$γ_{2}$	-0.0787	-2.36
$γ_{3}$	0.0875	4.29
$γ_{4}$	-0.0301	-1.47
$γ_{5}$	-0.0250	-1.05
$γ_{6}$	0.0326	1.76

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts