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

V-Lab

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V-Lab

TP Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:42.97% (-0.09%)

Analysis last updated: Wednesday, May 15, 2024 at 02:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7026	7.05
$α$	0.1227	7.72
$β$	0.7900	25.22
$γ_{1}$	-0.0977	-2.05
$γ_{2}$	0.0217	0.29
$γ_{3}$	0.1917	3.32
$γ_{4}$	-0.1737	-3.24
$γ_{5}$	0.1079	2.24
$γ_{6}$	-0.1400	-3.06
$γ_{7}$	0.1971	3.80
$γ_{8}$	-0.1582	-3.57

Estimation Period:
Dec 27, 1994 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts