V-Lab: Cablevision Systems Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Cablevision Systems Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 21st, 2016:6.89% (-0.05%)

Analysis last updated: Monday, June 20, 2016 at 09:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2188	4.23
$α$	0.0902	6.51
$β$	0.8740	47.35
$γ_{1}$	-0.0604	-0.64
$γ_{2}$	0.1910	1.16
$γ_{3}$	-0.2178	-1.30
$γ_{4}$	0.1129	0.77
$γ_{5}$	-0.0370	-0.26
$γ_{6}$	-0.0275	-0.14
$γ_{7}$	0.0803	0.37
$γ_{8}$	-0.0015	-0.01
$γ_{9}$	-0.3397	-1.99

Estimation Period:
Jan 1, 1990 to Jun 17, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts