V-Lab: T Rowe Price Group Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

T Rowe Price Group Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:30.05% (-0.91%)

Analysis last updated: Monday, May 6, 2024 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3685	5.67
$α$	0.0726	9.25
$β$	0.8937	78.77
$γ_{1}$	0.0713	2.28
$γ_{2}$	-0.0868	-1.84
$γ_{3}$	-0.0461	-1.36
$γ_{4}$	0.1711	5.75
$γ_{5}$	-0.2195	-7.05
$γ_{6}$	0.1840	5.40
$γ_{7}$	-0.0827	-2.13
$γ_{8}$	0.0040	0.08

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts