V-Lab: Immigon Portfolioabbau AG Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Immigon Portfolioabbau AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 1st, 2015:390.28% (-0.09%)

Analysis last updated: Friday, January 29, 2016 at 03:29 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3958	2.81
$α$	0.3785	3.93
$β$	0.6212	6.43
$γ_{1}$	-0.9226	-2.96
$γ_{2}$	2.1666	4.29
$γ_{3}$	-2.5396	-5.16
$γ_{4}$	2.5297	5.66
$γ_{5}$	-1.8013	-3.94
$γ_{6}$	1.1994	1.71
$γ_{7}$	-1.2788	-2.08

Estimation Period:
Jan 3, 1990 to Nov 27, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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