V-Lab: Sempio Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sempio Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:28.29% (-1.12%)

Analysis last updated: Wednesday, May 1, 2024 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0392	4.24
$α$	0.2761	7.32
$β$	0.6615	19.83
$γ_{1}$	0.0367	0.87
$γ_{2}$	-0.0458	-0.72
$γ_{3}$	-0.0582	-1.11
$γ_{4}$	0.1683	2.52
$γ_{5}$	-0.2415	-3.27
$γ_{6}$	0.3025	4.82
$γ_{7}$	-0.2717	-4.26
$γ_{8}$	0.1573	2.14
$γ_{9}$	-0.0590	-1.02

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

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Volatility Forecasts