V-Lab: KC Cottrell Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

KC Cottrell Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:23.33% (-0.88%)

Analysis last updated: Saturday, April 27, 2024 at 11:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9238	5.57
$α$	0.1545	4.49
$β$	0.4893	5.50
$γ_{1}$	-0.2026	-0.78
$γ_{2}$	0.3337	0.84
$γ_{3}$	0.1007	0.26
$γ_{4}$	-0.7489	-1.81
$γ_{5}$	1.0016	3.05
$γ_{6}$	-0.5396	-1.65
$γ_{7}$	-0.4270	-1.28
$γ_{8}$	1.3693	4.82
$γ_{9}$	-2.5840	-5.13

Estimation Period:
Jan 29, 2010 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts