V-Lab: Thomson Reuters Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Thomson Reuters Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:14.74% (+0.15%)

Analysis last updated: Wednesday, May 1, 2024 at 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9059	5.63
$α$	0.0809	7.35
$β$	0.8472	37.45
$γ_{1}$	-0.0305	-0.57
$γ_{2}$	0.0906	1.20
$γ_{3}$	-0.1061	-2.25
$γ_{4}$	-0.0289	-0.68
$γ_{5}$	0.2345	5.42
$γ_{6}$	-0.3136	-5.91
$γ_{7}$	0.2497	4.56
$γ_{8}$	-0.1190	-2.51
$γ_{9}$	0.0341	0.59
$γ_{10}$	-0.0638	-0.64

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts