V-Lab: Textura Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Textura Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 13th, 2016:43.60% (0.00%)

Analysis last updated: Saturday, June 11, 2016 at 05:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0866	3.55
$α$	0.0000	0.00
$β$	0.0000	0.00
$γ_{1}$	9.2622	1.34
$γ_{2}$	-17.6658	-1.77
$γ_{3}$	12.8173	1.84
$γ_{4}$	-8.0553	-1.18
$γ_{5}$	1.9171	0.28
$γ_{6}$	12.0905	1.23
$γ_{7}$	-15.5692	-1.00
$γ_{8}$	0.7469	0.04

Estimation Period:
Jun 7, 2013 to Jun 10, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts