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

V-Lab

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V-Lab

LS Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:70.72% (-0.92%)

Analysis last updated: Saturday, May 4, 2024 at 11:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7031	4.78
$α$	0.0743	8.81
$β$	0.8939	79.79
$γ_{1}$	0.0139	0.33
$γ_{2}$	0.0024	0.04
$γ_{3}$	-0.0887	-2.16
$γ_{4}$	0.1466	3.66
$γ_{5}$	-0.1437	-4.20
$γ_{6}$	0.1273	3.62
$γ_{7}$	-0.0737	-1.97
$γ_{8}$	0.0117	0.39

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts