V-Lab: Equus Total Return Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Equus Total Return Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:31.26% (-1.74%)

Analysis last updated: Friday, May 3, 2024 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3960	3.27
$α$	0.1594	7.33
$β$	0.7723	27.95
$γ_{1}$	0.0963	1.13
$γ_{2}$	-0.1658	-1.32
$γ_{3}$	0.1349	2.01
$γ_{4}$	-0.0397	-0.78
$γ_{5}$	-0.0841	-1.56
$γ_{6}$	0.0593	1.24
$γ_{7}$	0.0583	1.12
$γ_{8}$	-0.1683	-1.99

Estimation Period:
Sep 11, 1992 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts