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

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V-Lab

Goldman Sachs Group Inc/The Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:24.04% (-0.70%)

Analysis last updated: Monday, April 29, 2024 at 10:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2676	6.42
$α$	0.0712	6.39
$β$	0.8937	47.88
$γ_{1}$	-0.1773	-3.99
$γ_{2}$	0.3783	5.41
$γ_{3}$	-0.3392	-5.99
$γ_{4}$	0.1669	3.05
$γ_{5}$	0.0090	0.17
$γ_{6}$	-0.0452	-0.91
$γ_{7}$	-0.0451	-0.62

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts