V-Lab: Gemalto NV Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Gemalto NV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 29th, 2019:4.10% (-0.08%)

Analysis last updated: Tuesday, May 28, 2019 at 05:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7937	2.25
$α$	0.0542	4.80
$β$	0.9317	64.61
$γ_{1}$	-0.3945	-0.76
$γ_{2}$	0.5366	0.76
$γ_{3}$	-0.3733	-0.84
$γ_{4}$	0.4377	1.06
$γ_{5}$	-0.3820	-0.92
$γ_{6}$	0.6316	1.06
$γ_{7}$	-1.5206	-2.42
$γ_{8}$	1.7807	5.40

Estimation Period:
May 17, 2004 to May 24, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts