V-Lab: Union Steel Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Union Steel Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 26th, 2014:32.78% (+0.68%)

Analysis last updated: Friday, January 29, 2016 at 04:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6087	6.65
$α$	0.1898	10.00
$β$	0.7187	26.90
$γ_{1}$	-0.0193	-0.58
$γ_{2}$	0.0752	1.48
$γ_{3}$	-0.1698	-4.34
$γ_{4}$	0.1892	4.37
$γ_{5}$	-0.1152	-2.37
$γ_{6}$	0.0724	0.96

Estimation Period:
Jan 3, 1990 to Dec 24, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts