V-Lab: Beacon Roofing Supply Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Beacon Roofing Supply Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:32.71% (-1.04%)

Analysis last updated: Friday, May 17, 2024 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8780	5.31
$α$	0.0552	4.66
$β$	0.8928	39.42
$γ_{1}$	0.1583	0.84
$γ_{2}$	-0.4047	-1.42
$γ_{3}$	0.3360	1.77
$γ_{4}$	-0.1298	-0.72
$γ_{5}$	0.1559	0.81
$γ_{6}$	-0.2654	-1.16
$γ_{7}$	0.4943	1.98
$γ_{8}$	-0.7644	-2.96
$γ_{9}$	0.5894	2.62
$γ_{10}$	-0.1693	-1.42

Estimation Period:
Sep 23, 2004 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts