V-Lab: LY Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

LY Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:28.56% (+3.60%)

Analysis last updated: Friday, May 10, 2024 at 12:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5063	7.68
$α$	0.1406	7.36
$β$	0.6635	13.13
$γ_{1}$	0.0106	0.21
$γ_{2}$	-0.1308	-1.86
$γ_{3}$	0.3045	6.44
$γ_{4}$	-0.3463	-6.90
$γ_{5}$	0.3132	6.08
$γ_{6}$	-0.2716	-4.06
$γ_{7}$	0.2437	2.67
$γ_{8}$	-0.2217	-2.08
$γ_{9}$	0.0826	0.54

Estimation Period:
Nov 4, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts