V-Lab: Borgwarner Jersey Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Borgwarner Jersey Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 2nd, 2020:123.33% (0.00%)

Analysis last updated: Thursday, October 1, 2020 at 10:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9375	2.71
$α$	0.0077	0.28
$β$	0.5171	0.30
$γ_{1}$	-2.3902	-0.18
$γ_{2}$	19.3973	1.10
$γ_{3}$	-20.1398	-2.10
$γ_{4}$	-3.4302	-0.31
$γ_{5}$	6.4221	0.40
$γ_{6}$	5.6742	0.34
$γ_{7}$	-12.4366	-0.81
$γ_{8}$	23.4484	1.30
$γ_{9}$	-48.6439	-3.11
$γ_{10}$	49.2575	5.43

Estimation Period:
Nov 21, 2017 to Sep 25, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts