V-Lab: Banco Popular Espanol SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Banco Popular Espanol SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 7th, 2017:150.37% (-4.59%)

Analysis last updated: Tuesday, June 6, 2017 at 04:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1728	4.88
$α$	0.0794	9.24
$β$	0.9045	91.36
$γ_{1}$	0.0325	2.36
$γ_{2}$	-0.0583	-2.66
$γ_{3}$	0.0652	3.95
$γ_{4}$	-0.0636	-6.06

Estimation Period:
Jan 1, 1990 to Jun 2, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts