V-Lab: E1 Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

E1 Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:25.65% (-0.55%)

Analysis last updated: Wednesday, May 1, 2024 at 09:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5650	5.50
$α$	0.1241	5.41
$β$	0.7665	19.54
$γ_{1}$	-0.2366	-2.92
$γ_{2}$	0.3773	3.04
$γ_{3}$	-0.0900	-0.95
$γ_{4}$	-0.1831	-2.04
$γ_{5}$	0.2337	2.91
$γ_{6}$	-0.1904	-2.90
$γ_{7}$	0.1991	3.36
$γ_{8}$	-0.1537	-2.28
$γ_{9}$	0.0373	0.62

Estimation Period:
Aug 27, 1997 to Apr 30, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts