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

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V-Lab

LY Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:36.46% (-3.02%)

Analysis last updated: Sunday, April 28, 2024 at 01:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4732	7.47
$α$	0.1390	7.48
$β$	0.6721	13.86
$γ_{1}$	-0.0050	-0.10
$γ_{2}$	-0.1047	-1.47
$γ_{3}$	0.2844	5.98
$γ_{4}$	-0.3280	-6.48
$γ_{5}$	0.2988	5.75
$γ_{6}$	-0.2646	-3.97
$γ_{7}$	0.2478	2.81
$γ_{8}$	-0.2463	-2.82
$γ_{9}$	0.1635	2.66

Estimation Period:
Nov 4, 1997 to Apr 26, 2024

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Volatility Forecasts