V-Lab: Fannie Mae Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Fannie Mae Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 8th, 2008:188.51% (-3.49%)

Analysis last updated: Monday, March 1, 2021 at 03:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0283	6.65
$α$	0.0653	5.59
$β$	0.8638	35.77
$γ_{1}$	-0.1907	-2.03
$γ_{2}$	0.4338	3.11
$γ_{3}$	-0.3296	-3.43
$γ_{4}$	0.1284	1.42
$γ_{5}$	-0.2217	-2.05
$γ_{6}$	0.4061	2.94
$γ_{7}$	-0.4232	-2.87
$γ_{8}$	0.9665	6.20

Estimation Period:
Jan 2, 1990 to Sep 5, 2008

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts