V-Lab: SG Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

SG Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:32.28% (-0.35%)

Analysis last updated: Wednesday, May 1, 2024 at 10:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6507	6.77
$α$	0.1595	8.39
$β$	0.7169	23.16
$γ_{1}$	-0.0405	-1.12
$γ_{2}$	0.1088	2.08
$γ_{3}$	-0.1703	-4.63
$γ_{4}$	0.1310	3.54
$γ_{5}$	0.0040	0.10
$γ_{6}$	-0.0747	-1.56
$γ_{7}$	0.0698	1.22
$γ_{8}$	-0.0420	-0.60
$γ_{9}$	0.0210	0.31

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

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Volatility Forecasts

Volatility Forecasts