V-Lab: Automobile & PCB Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Automobile & PCB Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:39.19% (-1.19%)

Analysis last updated: Saturday, April 27, 2024 at 11:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5826	6.21
$α$	0.1396	8.62
$β$	0.7861	30.63
$γ_{1}$	-0.0780	-1.90
$γ_{2}$	0.1532	2.58
$γ_{3}$	-0.1713	-4.02
$γ_{4}$	0.1716	3.00
$γ_{5}$	-0.1641	-2.18
$γ_{6}$	0.1731	2.44
$γ_{7}$	-0.1335	-2.50
$γ_{8}$	0.0878	1.79
$γ_{9}$	-0.1016	-0.90

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts