V-Lab: BlackRock Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

BlackRock Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:22.82% (-0.74%)

Analysis last updated: Wednesday, April 24, 2024 at 09:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0648	7.70
$α$	0.1006	7.64
$β$	0.8490	42.49
$γ_{1}$	0.0731	5.52
$γ_{2}$	-0.1144	-5.79
$γ_{3}$	0.0728	5.67
$γ_{4}$	-0.0413	-5.03

Estimation Period:
Oct 1, 1999 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts