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

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V-Lab

Borgwarner Jersey Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 2nd, 2020:37.77% (-0.01%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7928	2.12
$α$	0.0039	0.14
$β$	0.4533	0.16
$γ_{1}$	-11.1064	-0.72
$γ_{2}$	31.4363	1.56
$γ_{3}$	-25.0669	-2.55
$γ_{4}$	-1.0032	-0.09
$γ_{5}$	5.0168	0.32
$γ_{6}$	7.1235	0.44
$γ_{7}$	-15.1037	-0.98
$γ_{8}$	28.9835	1.57
$γ_{9}$	-60.7147	-3.67
$γ_{10}$	77.7967	4.64

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts