V-Lab: DSR Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DSR Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:13.71% (-0.11%)

Analysis last updated: Wednesday, May 1, 2024 at 09:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3083	3.51
$α$	0.3395	4.03
$β$	0.4692	5.91
$γ_{1}$	1.6505	1.86
$γ_{2}$	-1.9044	-1.49
$γ_{3}$	1.3021	1.58
$γ_{4}$	-2.7981	-2.89
$γ_{5}$	3.2952	3.01
$γ_{6}$	-3.1016	-2.53
$γ_{7}$	2.6258	1.73
$γ_{8}$	-1.3911	-1.10
$γ_{9}$	-0.5388	-0.65
$γ_{10}$	1.7405	3.42

Estimation Period:
May 15, 2013 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts