V-Lab
V-Lab

BH Macro Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, November 11th, 2024:20.86% (-1.47%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of BH Macro Ltd S0GARCH
paramt-stat
ω0.30134.66
α0.10425.41
β0.785120.41
γ1-1.1130-6.90
γ21.70796.16
γ3-1.0886-3.17
γ40.84492.26
γ5-0.3966-1.48
γ60.08830.50
γ7-0.1923-1.54
γ80.20012.63
Estimation Period:
Mar 8, 2007 to Nov 8, 2024
Impact of return on volatility tomorrow
Volatility Forecasts