V-Lab: Cosmax BTI Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Cosmax BTI Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:19.78% (-1.31%)

Analysis last updated: Thursday, May 16, 2024 at 11:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2010	8.07
$α$	0.1011	6.56
$β$	0.8140	27.21
$γ_{1}$	-0.0010	-0.11
$γ_{2}$	0.0048	0.36
$γ_{3}$	-0.0370	-3.13

Estimation Period:
Feb 7, 2002 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts