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

V-Lab

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V-Lab

LY Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:37.00% (-4.14%)

Analysis last updated: Sunday, April 21, 2024 at 01:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4702	7.44
$α$	0.1388	7.47
$β$	0.6729	13.92
$γ_{1}$	-0.0047	-0.09
$γ_{2}$	-0.1059	-1.48
$γ_{3}$	0.2862	6.00
$γ_{4}$	-0.3296	-6.49
$γ_{5}$	0.2999	5.76
$γ_{6}$	-0.2652	-3.96
$γ_{7}$	0.2481	2.81
$γ_{8}$	-0.2462	-2.81
$γ_{9}$	0.1628	2.64

Estimation Period:
Nov 4, 1997 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts