V-Lab: HS Ad Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

HS Ad Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:13.54% (-0.68%)

Analysis last updated: Saturday, April 27, 2024 at 11:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7667	5.29
$α$	0.1438	6.48
$β$	0.7313	19.01
$γ_{1}$	-0.1215	-1.34
$γ_{2}$	0.1228	0.93
$γ_{3}$	0.1319	1.39
$γ_{4}$	-0.3225	-3.08
$γ_{5}$	0.3815	3.55
$γ_{6}$	-0.2964	-3.04
$γ_{7}$	0.1677	1.91
$γ_{8}$	-0.1650	-2.08
$γ_{9}$	0.1702	2.68

Estimation Period:
Aug 11, 1999 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts