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

V-Lab

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V-Lab

Banco Popular Espanol SA Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 7th, 2017:154.37% (-5.41%)

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
$ω$	0.9080	4.25
$α$	0.0821	8.94
$β$	0.8919	75.22
$γ_{1}$	-0.0235	-0.39
$γ_{2}$	0.0909	1.05
$γ_{3}$	-0.1653	-3.54
$γ_{4}$	0.1685	3.59
$γ_{5}$	-0.0350	-0.65
$γ_{6}$	-0.1149	-2.40
$γ_{7}$	0.2025	3.05

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts