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

V-Lab

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V-Lab

RONA Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 25th, 2016:16.39% (-0.01%)

Analysis last updated: Tuesday, May 24, 2016 at 08:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0156	5.49
$α$	0.2314	6.11
$β$	0.5524	11.73
$γ_{1}$	-0.0797	-0.29
$γ_{2}$	0.0644	0.14
$γ_{3}$	0.1506	0.42
$γ_{4}$	-0.1535	-0.51
$γ_{5}$	-0.4193	-1.54
$γ_{6}$	1.2183	3.54
$γ_{7}$	-1.5372	-3.72
$γ_{8}$	1.1545	3.14
$γ_{9}$	-0.4606	-2.18

Estimation Period:
Oct 28, 2002 to May 20, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts