V-Lab: Hospira Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hospira Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, September 3rd, 2015:0.72% (-0.01%)

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
$ω$	2.9625	0.50
$α$	0.8395	1.61
$β$	0.0497	0.97
$γ_{1}$	0.9873	1.30
$γ_{2}$	-1.9591	-1.49
$γ_{3}$	2.0700	2.15
$γ_{4}$	-2.1770	-3.67
$γ_{5}$	2.1316	4.71
$γ_{6}$	-2.1532	-4.30
$γ_{7}$	2.3746	3.75
$γ_{8}$	-5.2770	-6.23

Estimation Period:
Apr 20, 2004 to Aug 28, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts