V-Lab: BH Macro Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

BH Macro Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:19.51% (-1.31%)

Analysis last updated: Tuesday, November 12, 2024 at 10:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3013	4.66
$α$	0.1042	5.41
$β$	0.7851	20.41
$γ_{1}$	-1.1130	-6.90
$γ_{2}$	1.7079	6.16
$γ_{3}$	-1.0886	-3.17
$γ_{4}$	0.8449	2.26
$γ_{5}$	-0.3966	-1.48
$γ_{6}$	0.0883	0.50
$γ_{7}$	-0.1923	-1.54
$γ_{8}$	0.2001	2.63

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

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Volatility Forecasts

Volatility Forecasts