V-Lab: Merrill Lynch Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Merrill Lynch Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 1st, 2009:124.08% (-1.55%)

Analysis last updated: Monday, March 1, 2021 at 03:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9777	10.83
$α$	0.0694	5.65
$β$	0.8433	28.49
$γ_{1}$	0.0347	2.21
$γ_{2}$	-0.0142	-0.58
$γ_{3}$	-0.1296	-7.05
$γ_{4}$	0.4029	16.84

Estimation Period:
Jan 2, 1990 to Dec 31, 2008

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts