V-Lab: Bell MTS Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bell MTS Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 21st, 2017:23.04% (+1.46%)

Analysis last updated: Monday, March 20, 2017 at 10:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4923	9.39
$α$	0.2386	7.60
$β$	0.4702	8.91
$γ_{1}$	-0.3088	-2.42
$γ_{2}$	0.2333	1.14
$γ_{3}$	0.0901	0.70
$γ_{4}$	0.0072	0.06
$γ_{5}$	0.0753	0.54
$γ_{6}$	-0.2108	-1.60
$γ_{7}$	0.1199	0.70
$γ_{8}$	0.1353	0.51
$γ_{9}$	-0.5483	-1.26

Estimation Period:
Jan 7, 1997 to Mar 17, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts