V-Lab: Bear Stearns Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bear Stearns Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, August 26th, 2011:41.99% (-1.89%)

Analysis last updated: Monday, March 1, 2021 at 03:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8554	6.50
$α$	0.0784	7.64
$β$	0.8873	58.70
$γ_{1}$	-0.0684	-2.07
$γ_{2}$	0.1487	2.98
$γ_{3}$	-0.1907	-5.47
$γ_{4}$	0.2085	6.50
$γ_{5}$	-0.1336	-5.43

Estimation Period:
Jan 2, 1990 to Aug 25, 2011

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts