V-Lab: LY Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

LY Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:34.62% (-4.52%)

Analysis last updated: Sunday, April 21, 2024 at 01:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5054	7.67
$α$	0.1411	7.36
$β$	0.6626	13.10
$γ_{1}$	0.0108	0.21
$γ_{2}$	-0.1315	-1.86
$γ_{3}$	0.3054	6.44
$γ_{4}$	-0.3468	-6.89
$γ_{5}$	0.3131	6.07
$γ_{6}$	-0.2713	-4.04
$γ_{7}$	0.2430	2.65
$γ_{8}$	-0.2191	-2.05
$γ_{9}$	0.0771	0.51

Estimation Period:
Nov 4, 1997 to Apr 19, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts