V-Lab: BH Macro Ltd GAS-GARCH Student T Volatility Analysis

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V-Lab

BH Macro Ltd GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:22.85% (-1.13%)

Analysis last updated: Sunday, November 10, 2024 at 04:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7558	6.47
$α$	0.0700	56.29
$β$	0.9930	923.70
$ν$	4	32.28

Estimation Period:
Mar 8, 2007 to Nov 8, 2024