V-Lab: DCM Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DCM Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:10.57% (-0.33%)

Analysis last updated: Wednesday, May 1, 2024 at 09:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4665	4.73
$α$	0.1988	4.76
$β$	0.6558	12.90
$γ_{1}$	-0.5908	-4.72
$γ_{2}$	0.9821	5.80
$γ_{3}$	-0.5599	-5.25
$γ_{4}$	0.2909	1.93
$γ_{5}$	-0.3276	-1.92
$γ_{6}$	0.4866	3.26
$γ_{7}$	-0.6679	-4.71
$γ_{8}$	0.8552	6.56
$γ_{9}$	-0.6518	-4.81
$γ_{10}$	-0.1959	-0.65

Estimation Period:
Aug 18, 1999 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts