V-Lab: US Bancorp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

US Bancorp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:26.84% (-0.31%)

Analysis last updated: Friday, May 3, 2024 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3630	5.91
$α$	0.1097	9.90
$β$	0.8499	62.16
$γ_{1}$	0.0038	0.12
$γ_{2}$	0.0998	2.12
$γ_{3}$	-0.2827	-6.98
$γ_{4}$	0.3516	7.67
$γ_{5}$	-0.2852	-6.43
$γ_{6}$	0.1605	4.34
$γ_{7}$	-0.0201	-0.67
$γ_{8}$	-0.0601	-2.63

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts