V-Lab: DSR Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DSR Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:15.37% (-5.46%)

Analysis last updated: Thursday, May 16, 2024 at 11:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3244	3.57
$α$	0.3440	4.05
$β$	0.4616	5.80
$γ_{1}$	1.6787	1.93
$γ_{2}$	-1.9413	-1.55
$γ_{3}$	1.2933	1.61
$γ_{4}$	-2.7451	-2.91
$γ_{5}$	3.2243	3.02
$γ_{6}$	-3.0579	-2.60
$γ_{7}$	2.6672	1.79
$γ_{8}$	-1.5727	-1.23
$γ_{9}$	-0.1657	-0.17
$γ_{10}$	0.9037	0.79

Estimation Period:
May 15, 2013 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts