V-Lab: TPG Corp Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

TPG Corp Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 30th, 2020:36.03% (-1.53%)

Analysis last updated: Monday, June 29, 2020 at 09:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7007	6.61
$α$	0.1663	4.53
$β$	0.6298	9.03
$γ_{1}$	0.0635	0.46
$γ_{2}$	-0.0119	-0.05
$γ_{3}$	0.1776	0.94
$γ_{4}$	-0.5325	-2.97
$γ_{5}$	0.1862	1.17
$γ_{6}$	0.4560	2.70
$γ_{7}$	-0.5253	-2.47
$γ_{8}$	0.2986	1.35
$γ_{9}$	-0.2061	-0.95
$γ_{10}$	0.2797	0.54

Estimation Period:
May 10, 2001 to Jun 26, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts