V-Lab: TCC Steel Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

TCC Steel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:58.92% (-1.30%)

Analysis last updated: Wednesday, May 1, 2024 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8461	6.72
$α$	0.1357	8.39
$β$	0.7956	35.69
$γ_{1}$	-0.0440	-0.81
$γ_{2}$	0.0944	1.14
$γ_{3}$	-0.1180	-2.00
$γ_{4}$	0.0484	0.77
$γ_{5}$	0.1282	1.88
$γ_{6}$	-0.2702	-3.79
$γ_{7}$	0.3181	4.02
$γ_{8}$	-0.1996	-2.03
$γ_{9}$	0.0687	0.66
$γ_{10}$	-0.0670	-0.99

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

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Volatility Forecasts

Volatility Forecasts