V-Lab: Orchid Island Capital Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Orchid Island Capital Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:28.55% (-1.54%)

Analysis last updated: Tuesday, May 7, 2024 at 10:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6849	3.96
$α$	0.1393	5.49
$β$	0.8180	22.23
$γ_{1}$	-0.0072	-2.38

Estimation Period:
Feb 14, 2013 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts