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

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V-Lab

BH Macro Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:20.54% (-1.49%)

Analysis last updated: Sunday, November 10, 2024 at 03:59 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2994	4.62
$α$	0.1046	5.41
$β$	0.7847	20.29
$γ_{1}$	-1.1238	-6.95
$γ_{2}$	1.7255	6.23
$γ_{3}$	-1.1000	-3.21
$γ_{4}$	0.8524	2.28
$γ_{5}$	-0.4004	-1.49
$γ_{6}$	0.0865	0.48
$γ_{7}$	-0.1794	-1.25
$γ_{8}$	0.1580	0.79

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts