V-Lab: SG Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SG Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:35.52% (-0.11%)

Analysis last updated: Thursday, May 16, 2024 at 11:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6262	6.41
$α$	0.1622	8.13
$β$	0.7180	22.19
$γ_{1}$	-0.0623	-1.67
$γ_{2}$	0.1440	2.69
$γ_{3}$	-0.1930	-5.21
$γ_{4}$	0.1455	3.90
$γ_{5}$	-0.0016	-0.04
$γ_{6}$	-0.0792	-1.67
$γ_{7}$	0.0867	1.56
$γ_{8}$	-0.0800	-1.19
$γ_{9}$	0.1076	0.77

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts