V-Lab: United Parcel Service Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

United Parcel Service Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:21.81% (-0.59%)

Analysis last updated: Friday, May 3, 2024 at 09:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7376	5.04
$α$	0.1520	4.90
$β$	0.7315	18.75
$γ_{1}$	0.0858	3.97
$γ_{2}$	-0.1364	-4.64
$γ_{3}$	0.1078	6.56
$γ_{4}$	-0.1143	-4.06

Estimation Period:
Nov 10, 1999 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts