V-Lab: Bear Stearns Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bear Stearns Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, August 26th, 2011:34.99% (-4.20%)

Analysis last updated: Friday, April 29, 2016 at 06:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5793	5.25
$α$	0.1649	3.90
$β$	0.7792	31.84
$γ_{1}$	-0.0951	-3.06
$γ_{2}$	0.1916	3.94
$γ_{3}$	-0.2265	-6.28
$γ_{4}$	0.2675	6.42
$γ_{5}$	-0.2678	-3.64

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts