V-Lab: E1 Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

E1 Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:25.48% (+1.20%)

Analysis last updated: Sunday, April 21, 2024 at 12:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5344	5.33
$α$	0.1240	5.42
$β$	0.7663	19.53
$γ_{1}$	-0.2424	-2.94
$γ_{2}$	0.3837	3.05
$γ_{3}$	-0.0894	-0.94
$γ_{4}$	-0.1856	-2.06
$γ_{5}$	0.2363	2.94
$γ_{6}$	-0.1932	-2.95
$γ_{7}$	0.2015	3.39
$γ_{8}$	-0.1548	-2.28
$γ_{9}$	0.0375	0.62

Estimation Period:
Aug 27, 1997 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts