V-Lab: TPG Corp Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

TPG Corp Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 30th, 2020:31.23% (-1.70%)

Analysis last updated: Monday, June 29, 2020 at 09:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6915	6.67
$α$	0.1606	4.72
$β$	0.6369	9.32
$γ_{1}$	0.0643	0.46
$γ_{2}$	-0.0113	-0.05
$γ_{3}$	0.1713	0.91
$γ_{4}$	-0.5219	-2.93
$γ_{5}$	0.1790	1.12
$γ_{6}$	0.4510	2.65
$γ_{7}$	-0.5023	-2.29
$γ_{8}$	0.2492	1.06
$γ_{9}$	-0.1032	-0.62
$γ_{10}$	0.0188	0.12

Estimation Period:
May 10, 2001 to Jun 26, 2020

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Volatility Forecasts

Volatility Forecasts