V-Lab: Dongyang Express Corp Spline-GARCH Volatility Analysis

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V-Lab

Dongyang Express Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:4.26% (+0.20%)

Analysis last updated: Thursday, May 9, 2024 at 12:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.6832	4.29
$α$	0.2305	7.22
$β$	0.6295	17.90
$γ_{1}$	0.0085	0.04
$γ_{2}$	0.1156	0.38
$γ_{3}$	-0.2824	-1.31
$γ_{4}$	0.4598	2.52
$γ_{5}$	-0.6074	-3.03
$γ_{6}$	0.4879	2.69
$γ_{7}$	-0.3064	-1.99
$γ_{8}$	0.4780	2.83
$γ_{9}$	-1.4964	-5.61

Estimation Period:
Jul 25, 2005 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts