V-Lab: American Express Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

American Express Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:25.39% (-0.62%)

Analysis last updated: Tuesday, February 4, 2025 at 10:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2361	7.25
$α$	0.0809	9.50
$β$	0.8829	72.39
$γ_{1}$	-0.0094	-0.20
$γ_{2}$	0.0740	0.98
$γ_{3}$	-0.0934	-1.73
$γ_{4}$	-0.0795	-1.40
$γ_{5}$	0.3303	5.25
$γ_{6}$	-0.4374	-6.72
$γ_{7}$	0.3364	4.78
$γ_{8}$	-0.1598	-1.87
$γ_{9}$	0.0781	0.88
$γ_{10}$	-0.0681	-1.25

Estimation Period:
Jan 2, 1990 to Jan 31, 2025

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Volatility Forecasts

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