V-Lab: Pacific Coast Oil Trust Spline-GARCH Volatility Analysis

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V-Lab

Pacific Coast Oil Trust Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:129.80% (-16.08%)

Analysis last updated: Wednesday, May 8, 2024 at 09:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2846	3.66
$α$	0.1409	4.98
$β$	0.7740	18.56
$γ_{1}$	1.5956	2.44
$γ_{2}$	-2.1510	-2.54
$γ_{3}$	0.8252	1.13
$γ_{4}$	-0.6817	-0.97
$γ_{5}$	-0.5054	-0.82
$γ_{6}$	3.4699	3.76
$γ_{7}$	-4.4109	-3.37
$γ_{8}$	2.1454	1.66
$γ_{9}$	-0.6769	-0.46
$γ_{10}$	0.3154	0.12

Estimation Period:
May 3, 2012 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts