V-Lab: Family Dollar Stores Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Family Dollar Stores Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 7th, 2015:8.72% (-0.10%)

Analysis last updated: Friday, April 29, 2016 at 06:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2560	5.44
$α$	0.0498	7.94
$β$	0.9426	77.18
$γ_{1}$	-0.0822	-0.68
$γ_{2}$	0.1465	0.77
$γ_{3}$	-0.0474	-0.36
$γ_{4}$	-0.1315	-1.10
$γ_{5}$	0.2327	1.74
$γ_{6}$	-0.1274	-0.98
$γ_{7}$	-0.1241	-1.02
$γ_{8}$	0.2339	2.69

Estimation Period:
Jan 1, 1990 to Jul 2, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts