V-Lab: NPC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

NPC Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:11.79% (+0.31%)

Analysis last updated: Saturday, May 18, 2024 at 12:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6815	6.38
$α$	0.1240	9.46
$β$	0.8009	40.72
$γ_{1}$	-0.1286	-2.75
$γ_{2}$	0.2383	3.46
$γ_{3}$	-0.2322	-4.36
$γ_{4}$	0.1109	1.86
$γ_{5}$	0.1200	1.70
$γ_{6}$	-0.2020	-2.29
$γ_{7}$	0.1368	1.53
$γ_{8}$	-0.0804	-1.05
$γ_{9}$	0.2298	2.48
$γ_{10}$	-0.6820	-4.16

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

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Volatility Forecasts

Volatility Forecasts