V-Lab: American Express Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

American Express Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:36.68% (+12.11%)

Analysis last updated: Friday, April 19, 2024 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2178	7.44
$α$	0.0826	9.18
$β$	0.8765	66.03
$γ_{1}$	-0.0088	-0.18
$γ_{2}$	0.0669	0.88
$γ_{3}$	-0.0610	-1.11
$γ_{4}$	-0.1493	-2.58
$γ_{5}$	0.4176	6.48
$γ_{6}$	-0.5073	-7.26
$γ_{7}$	0.3752	4.95
$γ_{8}$	-0.1911	-2.16
$γ_{9}$	0.1278	1.59
$γ_{10}$	-0.1144	-2.52

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

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