V-Lab: Mesa Royalty Trust Spline-GARCH Volatility Analysis

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V-Lab

Mesa Royalty Trust Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:49.38% (-2.27%)

Analysis last updated: Thursday, May 9, 2024 at 09:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5794	3.01
$α$	0.1843	9.10
$β$	0.7539	32.79
$γ_{1}$	-0.1564	-1.47
$γ_{2}$	0.2827	1.90
$γ_{3}$	-0.1856	-2.31
$γ_{4}$	0.1806	2.41
$γ_{5}$	-0.2905	-4.08
$γ_{6}$	0.3343	4.35
$γ_{7}$	-0.3391	-4.04
$γ_{8}$	0.3693	4.61
$γ_{9}$	-0.4348	-4.60

Estimation Period:
Jan 1, 1990 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts