V-Lab: Rocket Electric Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Rocket Electric Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, February 24th, 2015:618.20% (-66.97%)

Analysis last updated: Friday, April 29, 2016 at 06:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3991	5.19
$α$	0.1469	6.84
$β$	0.7759	22.51
$γ_{1}$	-0.1361	-2.27
$γ_{2}$	0.2031	2.37
$γ_{3}$	-0.1029	-1.77
$γ_{4}$	-0.0096	-0.15
$γ_{5}$	0.1569	2.15
$γ_{6}$	-0.3194	-3.10
$γ_{7}$	0.8034	3.12

Estimation Period:
Jan 3, 1990 to Feb 17, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts