V-Lab: GS Global Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

GS Global Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:34.43% (-1.13%)

Analysis last updated: Friday, May 3, 2024 at 12:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5867	6.18
$α$	0.1434	9.31
$β$	0.7689	34.66
$γ_{1}$	0.0299	0.94
$γ_{2}$	-0.0058	-0.13
$γ_{3}$	-0.1037	-3.77
$γ_{4}$	0.1289	4.13
$γ_{5}$	-0.1182	-3.66
$γ_{6}$	0.1512	5.34
$γ_{7}$	-0.1050	-3.36
$γ_{8}$	0.0182	0.65

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

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Volatility Forecasts

Volatility Forecasts