V-Lab: KC Cottrell Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

KC Cottrell Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:96.13% (-37.48%)

Analysis last updated: Saturday, May 11, 2024 at 03:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9240	5.57
$α$	0.1538	4.48
$β$	0.4904	5.51
$γ_{1}$	-0.2028	-0.78
$γ_{2}$	0.3337	0.84
$γ_{3}$	0.1015	0.26
$γ_{4}$	-0.7498	-1.81
$γ_{5}$	1.0019	3.05
$γ_{6}$	-0.5396	-1.65
$γ_{7}$	-0.4264	-1.28
$γ_{8}$	1.3670	4.86
$γ_{9}$	-2.5764	-5.39

Estimation Period:
Jan 29, 2010 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts