V-Lab: Fine Asset Management Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Fine Asset Management Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 15th, 2014:41.93% (-7.24%)

Analysis last updated: Friday, January 29, 2016 at 02:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6299	8.01
$α$	0.2145	8.10
$β$	0.6198	15.18
$γ_{1}$	0.0575	0.77
$γ_{2}$	-0.0640	-0.55
$γ_{3}$	0.1158	1.43
$γ_{4}$	-0.2819	-3.71
$γ_{5}$	0.1678	1.77
$γ_{6}$	-0.0108	-0.09
$γ_{7}$	0.0066	0.05
$γ_{8}$	0.1735	1.75
$γ_{9}$	-0.2532	-3.46

Estimation Period:
Jan 3, 1990 to Apr 14, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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