V-Lab: Wells Fargo & Co Spline-GARCH Volatility Analysis

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V-Lab

Wells Fargo & Co Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:18.31% (-0.55%)

Analysis last updated: Friday, May 3, 2024 at 10:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2217	7.94
$α$	0.0883	8.35
$β$	0.8746	62.26
$γ_{1}$	0.0276	1.08
$γ_{2}$	0.0169	0.41
$γ_{3}$	-0.1675	-5.23
$γ_{4}$	0.3059	10.24
$γ_{5}$	-0.3427	-10.52
$γ_{6}$	0.2378	6.52
$γ_{7}$	-0.0580	-1.28
$γ_{8}$	-0.1154	-1.62

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts