V-Lab: DCM Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DCM Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:11.64% (-1.07%)

Analysis last updated: Thursday, May 16, 2024 at 11:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4685	4.76
$α$	0.1996	4.80
$β$	0.6528	12.84
$γ_{1}$	-0.5879	-4.72
$γ_{2}$	0.9780	5.81
$γ_{3}$	-0.5586	-5.30
$γ_{4}$	0.2907	1.95
$γ_{5}$	-0.3285	-1.94
$γ_{6}$	0.4902	3.30
$γ_{7}$	-0.6761	-4.81
$γ_{8}$	0.8728	6.72
$γ_{9}$	-0.6827	-5.18
$γ_{10}$	-0.1720	-0.66

Estimation Period:
Aug 18, 1999 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts