V-Lab: Wachovia Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Wachovia Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 1st, 2009:116.40% (-2.30%)

Analysis last updated: Friday, January 29, 2016 at 01:56 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7638	6.26
$α$	0.1246	5.65
$β$	0.8196	49.48
$γ_{1}$	-0.0419	-1.13
$γ_{2}$	0.1571	2.72
$γ_{3}$	-0.2143	-4.72
$γ_{4}$	0.0779	1.72
$γ_{5}$	0.3937	5.14

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts