V-Lab: Tec & Co Spline-GARCH Volatility Analysis

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V-Lab

Tec & Co Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 28th, 2016:50.99% (+6.44%)

Analysis last updated: Wednesday, April 27, 2016 at 07:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5280	3.24
$α$	0.2388	9.67
$β$	0.6443	20.04
$γ_{1}$	0.0187	0.15
$γ_{2}$	-0.0198	-0.12
$γ_{3}$	0.0967	1.13
$γ_{4}$	-0.2930	-4.12
$γ_{5}$	0.2383	2.99
$γ_{6}$	0.0716	0.77
$γ_{7}$	-0.2155	-1.65
$γ_{8}$	0.1888	1.16
$γ_{9}$	-0.2105	-1.01

Estimation Period:
Jan 3, 1990 to Apr 22, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts