V-Lab: Vivien Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Vivien Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:22.51% (+0.56%)

Analysis last updated: Saturday, May 11, 2024 at 03:57 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5617	5.05
$α$	0.2918	5.47
$β$	0.5623	10.67
$γ_{1}$	0.0146	0.70
$γ_{2}$	-0.0720	-2.34
$γ_{3}$	0.1050	5.50
$γ_{4}$	-0.1096	-5.87
$γ_{5}$	0.1764	6.02
$γ_{6}$	-0.2674	-4.82

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts