V-Lab: Automobile & PCB Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Automobile & PCB Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:45.99% (-2.45%)

Analysis last updated: Saturday, May 4, 2024 at 11:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5826	6.21
$α$	0.1391	8.61
$β$	0.7867	30.75
$γ_{1}$	-0.0772	-1.89
$γ_{2}$	0.1516	2.56
$γ_{3}$	-0.1697	-4.00
$γ_{4}$	0.1700	2.98
$γ_{5}$	-0.1628	-2.16
$γ_{6}$	0.1723	2.41
$γ_{7}$	-0.1331	-2.47
$γ_{8}$	0.0869	1.80
$γ_{9}$	-0.0995	-0.92

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts