V-Lab: DH Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DH Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 16th, 2017:2.88% (-0.04%)

Analysis last updated: Thursday, June 15, 2017 at 08:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7728	4.01
$α$	0.1558	7.54
$β$	0.7720	28.18
$γ_{1}$	0.5836	1.64
$γ_{2}$	-0.8047	-1.37
$γ_{3}$	0.2093	0.43
$γ_{4}$	-0.0463	-0.12
$γ_{5}$	-0.0372	-0.12
$γ_{6}$	0.3052	0.99
$γ_{7}$	-0.4173	-1.39
$γ_{8}$	0.7897	1.92
$γ_{9}$	-2.6439	-4.80

Estimation Period:
Dec 20, 2001 to Jun 9, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts