V-Lab: SG Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SG Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:38.20% (-0.31%)

Analysis last updated: Wednesday, May 1, 2024 at 10:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6269	6.37
$α$	0.1624	8.08
$β$	0.7193	22.25
$γ_{1}$	-0.0623	-1.66
$γ_{2}$	0.1443	2.67
$γ_{3}$	-0.1932	-5.17
$γ_{4}$	0.1450	3.87
$γ_{5}$	-0.0007	-0.02
$γ_{6}$	-0.0802	-1.69
$γ_{7}$	0.0886	1.60
$γ_{8}$	-0.0844	-1.23
$γ_{9}$	0.1199	0.81

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

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Volatility Forecasts

Volatility Forecasts