V-Lab: Hi Gold Ocean No2 Ship Investment Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hi Gold Ocean No2 Ship Investment Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 21st, 2016:24.38% (-4.61%)

Analysis last updated: Tuesday, December 20, 2016 at 08:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6814	4.26
$α$	0.3652	5.61
$β$	0.3519	3.84
$γ_{1}$	-8.3883	-1.94
$γ_{2}$	13.5095	1.90
$γ_{3}$	-3.2449	-0.68
$γ_{4}$	-7.6222	-2.15
$γ_{5}$	10.9000	2.96
$γ_{6}$	-8.0317	-2.12
$γ_{7}$	3.0813	0.74
$γ_{8}$	2.1190	0.41
$γ_{9}$	-8.3937	-1.25

Estimation Period:
Apr 15, 2011 to Dec 16, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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