V-Lab: North European Oil Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

North European Oil Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:76.84% (+1.47%)

Analysis last updated: Friday, April 26, 2024 at 09:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8870	6.04
$α$	0.1207	9.42
$β$	0.8117	39.08
$γ_{1}$	0.0713	1.44
$γ_{2}$	-0.0596	-0.77
$γ_{3}$	-0.0205	-0.37
$γ_{4}$	-0.0129	-0.26
$γ_{5}$	0.0763	1.48
$γ_{6}$	-0.1520	-2.96
$γ_{7}$	0.2284	4.47
$γ_{8}$	-0.2389	-4.63
$γ_{9}$	0.2109	4.26
$γ_{10}$	-0.1715	-4.53

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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