V-Lab: BrandywineGLOBAL - Global Income Opportunities Fund Inc Spline-GARCH Volatility Analysis

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V-Lab

BrandywineGLOBAL - Global Income Opportunities Fund Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:14.34% (+2.39%)

Analysis last updated: Friday, May 3, 2024 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7716	4.34
$α$	0.1214	5.78
$β$	0.8307	36.08
$γ_{1}$	-0.0488	-0.74
$γ_{2}$	-0.0195	-0.19
$γ_{3}$	0.2477	2.65
$γ_{4}$	-0.4285	-3.41

Estimation Period:
Mar 28, 2012 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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