V-Lab: DSR Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

DSR Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:16.30% (+1.24%)

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
$ω$	1.3175	3.49
$α$	0.3451	4.01
$β$	0.4657	5.85
$γ_{1}$	1.6826	1.87
$γ_{2}$	-1.9743	-1.53
$γ_{3}$	1.4026	1.69
$γ_{4}$	-2.9378	-3.00
$γ_{5}$	3.4481	3.11
$γ_{6}$	-3.2383	-2.57
$γ_{7}$	2.7184	1.77
$γ_{8}$	-1.4112	-1.12
$γ_{9}$	-0.5714	-0.70
$γ_{10}$	1.7541	3.46

Estimation Period:
May 15, 2013 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts