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

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V-Lab

Farmsco Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:24.19% (-0.74%)

Analysis last updated: Sunday, April 21, 2024 at 12:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8220	4.20
$α$	0.1154	6.42
$β$	0.8050	26.82
$γ_{1}$	-0.1419	-0.99
$γ_{2}$	0.4203	2.19
$γ_{3}$	-0.4571	-2.81
$γ_{4}$	0.2910	1.43
$γ_{5}$	-0.2322	-1.30
$γ_{6}$	0.2259	1.53
$γ_{7}$	-0.2386	-1.69
$γ_{8}$	0.3418	2.71
$γ_{9}$	-0.4184	-3.96
$γ_{10}$	0.2998	3.90

Estimation Period:
Oct 25, 1999 to Apr 19, 2024

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