V-Lab: Meritz Financial Group Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Meritz Financial Group Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:38.94% (-1.88%)

Analysis last updated: Sunday, April 21, 2024 at 12:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7556	3.92
$α$	0.1075	4.82
$β$	0.7329	14.11
$γ_{1}$	0.4048	1.42
$γ_{2}$	-0.1334	-0.33
$γ_{3}$	-0.6273	-2.27
$γ_{4}$	0.6520	2.74
$γ_{5}$	-0.4738	-2.33
$γ_{6}$	0.4786	1.88
$γ_{7}$	-0.6950	-2.54
$γ_{8}$	0.5399	3.06

Estimation Period:
May 13, 2011 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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