V-Lab: Next PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Next PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:20.90% (-0.18%)

Analysis last updated: Saturday, April 20, 2024 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7521	7.36
$α$	0.0771	6.48
$β$	0.8417	34.22
$γ_{1}$	-0.0995	-2.76
$γ_{2}$	0.2829	4.86
$γ_{3}$	-0.2869	-5.42
$γ_{4}$	0.0708	1.32
$γ_{5}$	0.1791	3.30
$γ_{6}$	-0.3338	-5.70
$γ_{7}$	0.3329	4.66
$γ_{8}$	-0.1921	-2.43
$γ_{9}$	0.0296	0.43
$γ_{10}$	0.0074	0.08

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts