V-Lab: ECA Marcellus Trust I Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

ECA Marcellus Trust I Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:96.20% (-6.39%)

Analysis last updated: Friday, April 26, 2024 at 02:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4114	3.22
$α$	0.1150	5.69
$β$	0.8561	19.83
$γ_{1}$	-0.3824	-1.87
$γ_{2}$	0.6385	1.68
$γ_{3}$	-0.5812	-1.68
$γ_{4}$	0.7507	2.89
$γ_{5}$	-0.7863	-4.19
$γ_{6}$	0.4656	3.10

Estimation Period:
Jul 1, 2010 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts