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

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V-Lab

TP Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:47.44% (+0.11%)

Analysis last updated: Tuesday, April 30, 2024 at 09:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7025	7.08
$α$	0.1228	7.72
$β$	0.7887	24.98
$γ_{1}$	-0.0968	-2.04
$γ_{2}$	0.0198	0.26
$γ_{3}$	0.1938	3.37
$γ_{4}$	-0.1758	-3.29
$γ_{5}$	0.1107	2.32
$γ_{6}$	-0.1441	-3.16
$γ_{7}$	0.2023	3.90
$γ_{8}$	-0.1627	-3.66

Estimation Period:
Dec 27, 1994 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts