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

V-Lab

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V-Lab

American Express Co Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 19th, 2025:31.03% (-1.56%)

Analysis last updated: Tuesday, March 18, 2025 at 09:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1627	7.09
$α$	0.0819	9.49
$β$	0.8791	69.48
$γ_{1}$	-0.0350	-0.77
$γ_{2}$	0.1126	1.57
$γ_{3}$	-0.1134	-2.20
$γ_{4}$	-0.0703	-1.31
$γ_{5}$	0.3308	5.59
$γ_{6}$	-0.4486	-7.40
$γ_{7}$	0.3581	5.39
$γ_{8}$	-0.1926	-2.31
$γ_{9}$	0.1435	1.52
$γ_{10}$	-0.2512	-2.17

Estimation Period:
Jan 2, 1990 to Mar 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts