V-Lab: Vallourec SA Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Vallourec SA Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.84% (+0.49%)

Analysis last updated: Saturday, April 20, 2024 at 11:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0827	4.72
$α$	0.0917	8.91
$β$	0.8317	43.52
$γ_{1}$	-0.0317	-0.67
$γ_{2}$	0.1029	1.53
$γ_{3}$	-0.1578	-3.63
$γ_{4}$	0.1725	4.13
$γ_{5}$	-0.1393	-3.51
$γ_{6}$	0.0651	1.30
$γ_{7}$	0.0172	0.33
$γ_{8}$	-0.0447	-0.81
$γ_{9}$	-0.0958	-1.31

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts