V-Lab: Robert Half Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Robert Half Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:25.49% (-0.05%)

Analysis last updated: Tuesday, April 30, 2024 at 10:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7212	5.66
$α$	0.0875	6.75
$β$	0.8321	33.40
$γ_{1}$	-0.0042	-0.09
$γ_{2}$	0.0103	0.15
$γ_{3}$	-0.0562	-1.35
$γ_{4}$	0.1066	2.83
$γ_{5}$	-0.1132	-3.48
$γ_{6}$	0.1052	3.70
$γ_{7}$	-0.0689	-2.50
$γ_{8}$	0.0253	1.22

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts