V-Lab: Raytheon Co Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Raytheon Co Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 6th, 2020:80.59% (-7.82%)

Analysis last updated: Tuesday, August 9, 2022 at 05:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7779	4.90
$α$	0.0987	8.53
$β$	0.8238	43.21
$γ_{1}$	-0.0376	-1.07
$γ_{2}$	0.1389	2.75
$γ_{3}$	-0.2585	-8.12
$γ_{4}$	0.2709	10.37
$γ_{5}$	-0.1682	-7.64
$γ_{6}$	0.0813	3.57
$γ_{7}$	-0.0045	-0.14

Estimation Period:
Jan 1, 1990 to Apr 3, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts