V-Lab: Automobile & PCB Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Automobile & PCB Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:42.83% (+0.10%)

Analysis last updated: Sunday, April 21, 2024 at 12:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5821	6.17
$α$	0.1388	8.64
$β$	0.7880	30.99
$γ_{1}$	-0.0806	-1.96
$γ_{2}$	0.1577	2.65
$γ_{3}$	-0.1745	-4.09
$γ_{4}$	0.1735	3.03
$γ_{5}$	-0.1652	-2.19
$γ_{6}$	0.1735	2.44
$γ_{7}$	-0.1331	-2.48
$γ_{8}$	0.0861	1.74
$γ_{9}$	-0.0957	-0.83

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts