V-Lab: NPC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

NPC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:15.14% (-0.87%)

Analysis last updated: Saturday, May 4, 2024 at 11:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6817	6.34
$α$	0.1228	9.42
$β$	0.8035	41.07
$γ_{1}$	-0.1288	-2.74
$γ_{2}$	0.2387	3.43
$γ_{3}$	-0.2319	-4.31
$γ_{4}$	0.1089	1.81
$γ_{5}$	0.1230	1.71
$γ_{6}$	-0.2042	-2.28
$γ_{7}$	0.1381	1.53
$γ_{8}$	-0.0824	-1.06
$γ_{9}$	0.2318	2.46
$γ_{10}$	-0.6674	-4.07

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

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Volatility Forecasts

Volatility Forecasts