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

V-Lab

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V-Lab

Wachovia Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 1st, 2009:78.41% (-3.99%)

Analysis last updated: Friday, January 29, 2016 at 02:05 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1536	4.99
$α$	0.1280	6.64
$β$	0.8499	62.85
$γ_{1}$	0.0638	4.29
$γ_{2}$	-0.0987	-4.07
$γ_{3}$	0.0521	3.55

Estimation Period:
Jan 2, 1990 to Dec 31, 2008

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts