V-Lab: Republic Airways Holdings Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Republic Airways Holdings Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 1st, 2017:304.06% (-7.55%)

Analysis last updated: Friday, April 28, 2017 at 11:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5445	4.70
$α$	0.0439	3.00
$β$	0.9076	21.73
$γ_{1}$	-0.1129	-0.25
$γ_{2}$	0.3642	0.44
$γ_{3}$	0.1429	0.20
$γ_{4}$	-1.3921	-2.30
$γ_{5}$	1.9103	3.24
$γ_{6}$	-1.7810	-2.80
$γ_{7}$	1.6789	1.78
$γ_{8}$	-0.6570	-0.63
$γ_{9}$	-0.6418	-0.96

Estimation Period:
May 27, 2004 to Apr 28, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts