V-Lab: LS Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

LS Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:79.13% (+6.82%)

Analysis last updated: Saturday, April 27, 2024 at 11:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7079	4.80
$α$	0.0745	8.80
$β$	0.8939	79.80
$γ_{1}$	0.0145	0.34
$γ_{2}$	0.0023	0.04
$γ_{3}$	-0.0898	-2.18
$γ_{4}$	0.1481	3.69
$γ_{5}$	-0.1454	-4.23
$γ_{6}$	0.1286	3.64
$γ_{7}$	-0.0743	-1.98
$γ_{8}$	0.0119	0.40

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts