V-Lab: Marriott International Inc/MD Spline-GARCH Volatility Analysis

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V-Lab

Marriott International Inc/MD Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:19.90% (-0.60%)

Analysis last updated: Friday, May 3, 2024 at 10:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2746	7.25
$α$	0.0756	7.37
$β$	0.8806	53.21
$γ_{1}$	0.1445	4.64
$γ_{2}$	-0.2756	-5.72
$γ_{3}$	0.2517	7.42
$γ_{4}$	-0.2145	-6.84
$γ_{5}$	0.1361	4.49
$γ_{6}$	-0.0103	-0.31
$γ_{7}$	-0.1259	-2.36

Estimation Period:
Oct 13, 1993 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts