V-Lab: E1 Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

E1 Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:33.36% (+0.93%)

Analysis last updated: Sunday, April 21, 2024 at 12:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5284	5.37
$α$	0.1282	5.79
$β$	0.7575	19.31
$γ_{1}$	-0.2514	-3.07
$γ_{2}$	0.3976	3.18
$γ_{3}$	-0.0940	-0.99
$γ_{4}$	-0.1918	-2.14
$γ_{5}$	0.2527	3.17
$γ_{6}$	-0.2212	-3.41
$γ_{7}$	0.2550	4.37
$γ_{8}$	-0.2722	-4.14
$γ_{9}$	0.3278	2.81

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts