V-Lab: Black Diamond Group Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Black Diamond Group Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:33.97% (+4.22%)

Analysis last updated: Friday, April 26, 2024 at 02:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1165	2.53
$α$	0.1142	6.13
$β$	0.7825	19.75
$γ_{1}$	0.0862	0.33
$γ_{2}$	-0.0371	-0.11
$γ_{3}$	-0.0515	-0.28
$γ_{4}$	0.1878	1.19
$γ_{5}$	-0.5421	-3.77
$γ_{6}$	0.5961	4.27
$γ_{7}$	-0.4484	-3.50
$γ_{8}$	0.3372	3.38

Estimation Period:
Sep 26, 2006 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts