V-Lab: Goldman Sachs Group Inc/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Goldman Sachs Group Inc/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:25.12% (-0.49%)

Analysis last updated: Tuesday, April 30, 2024 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2596	6.26
$α$	0.0708	6.44
$β$	0.8956	49.57
$γ_{1}$	-0.1761	-3.88
$γ_{2}$	0.3740	5.25
$γ_{3}$	-0.3325	-5.78
$γ_{4}$	0.1584	2.86
$γ_{5}$	0.0222	0.41
$γ_{6}$	-0.0734	-1.67
$γ_{7}$	0.0297	0.99

Estimation Period:
May 4, 1999 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts