V-Lab: Bank of New York Mellon Corp/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bank of New York Mellon Corp/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:19.44% (-0.40%)

Analysis last updated: Thursday, May 16, 2024 at 09:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2456	7.79
$α$	0.0862	8.49
$β$	0.8651	55.20
$γ_{1}$	-0.0012	-0.02
$γ_{2}$	0.0663	0.77
$γ_{3}$	-0.0858	-1.42
$γ_{4}$	-0.0734	-1.25
$γ_{5}$	0.2549	4.35
$γ_{6}$	-0.3013	-5.50
$γ_{7}$	0.1801	2.57
$γ_{8}$	0.0154	0.21
$γ_{9}$	-0.1005	-1.43
$γ_{10}$	0.0541	1.15

Estimation Period:
Jan 2, 1990 to May 10, 2024

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