V-Lab: NPC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

NPC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:34.85% (-0.60%)

Analysis last updated: Friday, May 3, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8398	6.54
$α$	0.0986	8.67
$β$	0.8666	51.31
$γ_{1}$	-0.0063	-0.18
$γ_{2}$	0.0209	0.39
$γ_{3}$	-0.1077	-2.63
$γ_{4}$	0.2006	4.48
$γ_{5}$	-0.1793	-3.15
$γ_{6}$	0.0926	1.45
$γ_{7}$	0.0310	0.60
$γ_{8}$	-0.0920	-2.77

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

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Volatility Forecasts