V-Lab: Farmsco Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Farmsco Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:24.28% (-0.84%)

Analysis last updated: Saturday, May 4, 2024 at 11:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7948	4.19
$α$	0.1131	6.41
$β$	0.8092	27.45
$γ_{1}$	-0.1484	-1.04
$γ_{2}$	0.4241	2.23
$γ_{3}$	-0.4485	-2.80
$γ_{4}$	0.2792	1.38
$γ_{5}$	-0.2212	-1.24
$γ_{6}$	0.2156	1.48
$γ_{7}$	-0.2275	-1.62
$γ_{8}$	0.3332	2.66
$γ_{9}$	-0.4197	-4.01
$γ_{10}$	0.3080	4.07

Estimation Period:
Oct 25, 1999 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts