V-Lab: Black Diamond Group Ltd Spline-GARCH Volatility Analysis

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V-Lab

Black Diamond Group Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:37.69% (-2.06%)

Analysis last updated: Tuesday, May 7, 2024 at 01:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1290	2.54
$α$	0.1118	6.12
$β$	0.7887	20.28
$γ_{1}$	0.0945	0.36
$γ_{2}$	-0.0482	-0.14
$γ_{3}$	-0.0465	-0.26
$γ_{4}$	0.1817	1.14
$γ_{5}$	-0.5342	-3.68
$γ_{6}$	0.5874	4.07
$γ_{7}$	-0.4348	-2.71
$γ_{8}$	0.3238	1.31

Estimation Period:
Sep 26, 2006 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts