V-Lab: American Express Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

American Express Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:32.12% (-1.09%)

Analysis last updated: Friday, April 26, 2024 at 10:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2119	7.42
$α$	0.0818	9.15
$β$	0.8774	66.55
$γ_{1}$	-0.0089	-0.18
$γ_{2}$	0.0667	0.88
$γ_{3}$	-0.0604	-1.10
$γ_{4}$	-0.1500	-2.58
$γ_{5}$	0.4182	6.47
$γ_{6}$	-0.5072	-7.22
$γ_{7}$	0.3744	4.92
$γ_{8}$	-0.1903	-2.15
$γ_{9}$	0.1268	1.57
$γ_{10}$	-0.1128	-2.48

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

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