V-Lab: Stentys Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Stentys Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 23rd, 2019:73.60% (-2.60%)

Analysis last updated: Monday, July 22, 2019 at 09:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1486	2.08
$α$	0.1764	2.23
$β$	0.7679	6.13
$γ_{1}$	-1.3152	-1.56
$γ_{2}$	1.7220	1.50
$γ_{3}$	0.3962	0.49
$γ_{4}$	-1.9990	-1.73
$γ_{5}$	1.8570	1.35
$γ_{6}$	-0.4639	-0.32
$γ_{7}$	-0.5102	-0.46

Estimation Period:
Oct 22, 2010 to Jul 19, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts