V-Lab: NPC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

NPC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:33.76% (-0.54%)

Analysis last updated: Saturday, May 4, 2024 at 11:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8415	6.51
$α$	0.0986	8.68
$β$	0.8669	51.41
$γ_{1}$	-0.0061	-0.18
$γ_{2}$	0.0207	0.39
$γ_{3}$	-0.1079	-2.62
$γ_{4}$	0.2011	4.48
$γ_{5}$	-0.1800	-3.15
$γ_{6}$	0.0934	1.46
$γ_{7}$	0.0298	0.57
$γ_{8}$	-0.0906	-2.73

Estimation Period:
Jan 3, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts