V-Lab: E1 Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

E1 Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:30.60% (-0.41%)

Analysis last updated: Thursday, May 9, 2024 at 12:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5282	5.38
$α$	0.1279	5.77
$β$	0.7575	19.23
$γ_{1}$	-0.2512	-3.08
$γ_{2}$	0.3979	3.20
$γ_{3}$	-0.0960	-1.02
$γ_{4}$	-0.1891	-2.12
$γ_{5}$	0.2503	3.14
$γ_{6}$	-0.2189	-3.36
$γ_{7}$	0.2527	4.34
$γ_{8}$	-0.2696	-4.16
$γ_{9}$	0.3216	2.87

Estimation Period:
Aug 27, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts