V-Lab: Freddie Mac Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Freddie Mac Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 8th, 2008:223.98% (-8.35%)

Analysis last updated: Saturday, February 27, 2016 at 07:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8626	5.52
$α$	0.0779	4.77
$β$	0.8675	41.98
$γ_{1}$	-0.1793	-1.19
$γ_{2}$	0.2904	1.34
$γ_{3}$	-0.0877	-0.59
$γ_{4}$	0.0485	0.32
$γ_{5}$	-0.3054	-1.97
$γ_{6}$	0.4643	1.92
$γ_{7}$	-0.5088	-1.19
$γ_{8}$	0.4698	0.97
$γ_{9}$	0.7603	1.82

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts