V-Lab: Inscobee Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Inscobee Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:25.47% (-0.96%)

Analysis last updated: Thursday, May 9, 2024 at 11:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4881	9.10
$α$	0.1579	10.14
$β$	0.6811	19.78
$γ_{1}$	-0.0988	-2.43
$γ_{2}$	0.2105	3.49
$γ_{3}$	-0.2650	-6.50
$γ_{4}$	0.2569	5.99
$γ_{5}$	-0.1507	-3.34
$γ_{6}$	0.0585	1.29
$γ_{7}$	-0.0342	-0.72
$γ_{8}$	0.0589	0.95
$γ_{9}$	-0.0833	-1.16
$γ_{10}$	0.0233	0.26

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts