V-Lab: DSR Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DSR Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:12.31% (-0.08%)

Analysis last updated: Wednesday, May 1, 2024 at 09:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3283	3.56
$α$	0.3430	4.01
$β$	0.4629	5.77
$γ_{1}$	1.7196	1.95
$γ_{2}$	-2.0209	-1.59
$γ_{3}$	1.3972	1.71
$γ_{4}$	-2.8935	-3.02
$γ_{5}$	3.3860	3.13
$γ_{6}$	-3.1917	-2.63
$γ_{7}$	2.7472	1.82
$γ_{8}$	-1.5941	-1.24
$γ_{9}$	-0.1521	-0.16
$γ_{10}$	0.7631	0.67

Estimation Period:
May 15, 2013 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts